Natixis Funds Trust II

Notional Amount
(†††)

Description

Value(†)

Purchased Swaptions – 0.1%

Interest Rate Swaptions – 0.1%

$104,980,000

10-year Interest Rate Swap Call, expiring 6/4/2018, Pay 3-month LIBOR, Receive 2.8000% (v)
(Identified Cost $910,702)

0001193125-18-177940.txt : 20180530 0001193125-18-177940.hdr.sgml : 20180530 20180530113435 ACCESSION NUMBER: 0001193125-18-177940 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20180331 FILED AS OF DATE: 20180530 DATE AS OF CHANGE: 20180530 EFFECTIVENESS DATE: 20180530 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 18867066 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202

0000052136 S000008033 Natixis Oakmark Fund

C000021802 Class A NEFOX

C000021804 Class C NECOX

C000021805 Class Y NEOYX

C000190720 Class N NOANX

0000052136 S000023548 ASG Global Alternatives Fund

C000069269 Class A GAFAX

C000069270 Class C GAFCX

C000069271 Class Y GAFYX

C000128763 Class N GAFNX

0000052136 S000023783 Vaughan Nelson Value Opportunity Fund

C000069913 Class A VNVAX

C000069914 Class C VNVCX

C000069915 Class Y VNVYX

C000128764 Class N VNVNX

0000052136 S000029564 ASG Managed Futures Strategy Fund

C000090725 Class A AMFAX

C000090726 Class C ASFCX

C000090727 Class Y ASFYX

C000190721 Class N AMFNX

0000052136 S000030600 Loomis Sayles Strategic Alpha Fund

C000094853 Class A LABAX

C000094854 Class C LABCX

C000094855 Class Y LASYX

C000190722 Class N LASNX

0000052136 S000039535 McDonnell Intermediate Municipal Bond Fund

C000121922 Class A MIMAX

C000121923 Class C MIMCX

C000121924 Class Y MIMYX

0000052136 S000042166 ASG Tactical U.S. Market Fund

C000130927 Class A USMAX

C000130928 Class C USMCX

C000130929 Class Y USMYX

0000052136 S000051707 ASG Dynamic Allocation Fund

C000162711 Class A DAAFX

C000162712 Class C DACFX

C000162713 Class Y DAYFX

N-Q 1 d787706dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197

(Address of principal executive offices) (Zip code)

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2822

Date of fiscal year end: December 31

Date of reporting period: March 31, 2018

ITEM 1.

SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

ASG Dynamic Allocation Fund


Shares		Description	Value (†)
	Exchange-Traded Funds – 42.3%
	8,495	iShares^® Core U.S. Aggregate Bond ETF	$	911,089
	13,661	iShares^® Edge MSCI Min Vol Emerging Markets ETF		851,627
	14,681	iShares^® JP Morgan USD Emerging Markets Bond ETF		1,656,310
	52,690	SPDR^® Bloomberg Barclays International Treasury Bond ETF		1,554,882
	7,854	Vanguard FTSE All World ex-U.S. Small-Cap ETF		936,511
	20,419	Vanguard FTSE Developed Markets ETF		903,541
	13,494	Vanguard FTSE Emerging Markets ETF		633,948
	15,645	Vanguard FTSE Europe ETF		909,757
	12,676	Vanguard FTSE Pacific ETF		924,714
	10,716	Vanguard Intermediate-Term Corporate Bond ETF		909,145
	14,049	Vanguard Mid-Cap ETF		2,166,496
	29,245	Vanguard Total International Bond ETF		1,600,579
	15,951	Vanguard Total Stock Market ETF		2,164,870
	20,066	Vanguard Value ETF		2,070,410

		Total Exchange-Traded Funds (Identified Cost $16,383,395)		18,193,879

Principal Amount
	Short-Term Investments – 56.6%
		Certificates of Deposit – 48.7%
$	1,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.570%, 4/02/2018		999,995
	700,000	Landesbank Hessen (NY), 1.800%, 4/03/2018		700,009
	500,000	Cooperatieve Rabobank U.A. (NY), 1-month LIBOR + 0.100%, 1.791%, 4/06/2018(a)(b)		500,007
	500,000	Landesbank Hessen (NY), 1.960%, 4/16/2018		500,031
	500,000	DZ Bank (NY), 1.710%, 4/24/2018		499,957
	750,000	DNB Nor Bank ASA (NY), 1.720%, 4/24/2018		750,003
	500,000	Norinchukin Bank (NY), 1.720%, 4/24/2018		499,946
	1,000,000	Abbey National Treasury Services PLC, 1.770%, 4/25/2018		999,944
	1,000,000	Mizuho Bank Ltd. (NY), 1-month LIBOR + 0.190%, 2.062%, 4/25/2018(a)		1,000,021
	900,000	Bank of Montreal (IL), 1-month LIBOR + 0.280%, 1.991%, 5/08/2018(a)(b)		900,274
	500,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.110%, 1.951%, 5/21/2018(a)		500,055
	1,000,000	Toronto-Dominion Bank (NY), 1.950%, 5/22/2018		1,000,090
	900,000	Swedbank (NY), 1-month LIBOR + 0.110%, 1.796%, 6/04/2018(a)(b)		900,104
	500,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.200%, 1.886%, 6/05/2018(a)		499,920
	1,000,000	BNP Paribas (NY), 2.040%, 6/05/2018		1,000,068


Principal Amount		Description	Value (†)
$	500,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.920%, 6/12/2018(a)	$	500,054
	1,000,000	Bank of Nova Scotia (TX), 1-month LIBOR + 0.150%, 1.927%, 6/15/2018(a)(b)		1,000,029
	1,000,000	Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.200%, 1.977%, 6/15/2018(a)(b)		999,800
	1,000,000	Credit Industriel et Commercial (NY), 2.250%, 6/20/2018		1,000,096
	500,000	Norinchukin Bank (NY), 2.300%, 6/20/2018		500,102
	1,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018(b)		998,847
	500,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.920%, 7/10/2018(a)(b)		499,931
	500,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.018%, 7/19/2018(a)(b)		499,863
	250,000	DZ Bank (NY), 3-month LIBOR + 0.370%, 2.262%, 8/16/2018(a)		250,109
	1,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.350%, 2.014%, 9/04/2018(a)		999,819
	1,000,000	Wells Fargo Bank NA, 1-month LIBOR + 0.210%, 1.880%, 9/06/2018(a)		999,007
	700,000	Skandinaviska Enskilda Banken AB (NY), 1-month LIBOR + 0.300%, 2.086%, 9/14/2018(a)		699,872
	250,000	Mizuho Bank Ltd. (NY), 3-month LIBOR + 0.500%, 2.786%, 9/24/2018(a)		250,179
	500,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 1.946%, 1/03/2019(a)(b)		499,442

				20,947,574

		Commercial Paper – 2.6%
	1,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.933%, 4/24/2018(c)		998,767
	100,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.933%, 4/26/2018(c)		99,868

				1,098,635

		Other Notes – 2.3%
	500,000	Bank of America NA, 1.830%, 8/02/2018(d)		499,984
	500,000	Bank of America NA, 1.966%, 8/16/2018(d)		499,981

				999,965

		Time Deposits – 1.7%
	750,000	National Bank of Kuwait, 1.690%, 4/02/2018(d)		750,000

		Treasuries – 1.3%
	300,000	U.S. Treasury Bills, 1.377%, 4/05/2018 (c)(e)		299,959


Principal Amount		Description	Value (†)
	$275,000	U.S. Treasury Bills, 1.500%-1.550%, 5/03/2018 (c)(e)(f)	$	274,615

				574,574

		Total Short-Term Investments (Identified Cost $24,373,680)		24,370,748

		Total Investments – 98.9% (Identified Cost $40,757,075)		42,564,627
		Other assets less liabilities – 1.1%		471,960

		Net Assets – 100.0%	$	43,036,587

(†)

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of March 31, 2018, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:


Value		Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
$	5,634,831	$	134,262		0.31	%

*	Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a)	Variable rate security. Rate as of March 31, 2018 is disclosed.

(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(c)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(d)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of March 31, 2018 is disclosed.

(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(f)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.


ETF		Exchange-Traded Fund
LIBOR		London Interbank Offered Rate
SPDR		Standard & Poor’s Depositary Receipt

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At March 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		6/15/2018		4	$	391,757	$	398,209	$	6,452
ASX SPI 200™		6/21/2018		6		690,650		666,706		(23,944	)
CAC 40^®		4/20/2018		10		649,517		635,579		(13,938	)
E-mini Dow		6/15/2018		9		1,121,445		1,086,615		(34,830	)
E-mini NASDAQ 100		6/15/2018		8		1,139,902		1,055,040		(84,862	)
E-mini S&P 500^®		6/15/2018		8		1,091,320		1,057,200		(34,120	)
EURO STOXX 50^®		6/15/2018		17		700,113		687,782		(12,331	)
FTSE 100 Index		6/15/2018		6		598,899		589,368		(9,531	)
FTSE/JSE Top 40 Index		6/21/2018		18		796,981		751,605		(45,376	)
German Euro Bund		6/07/2018		2		387,345		392,341		4,996
Hang Seng Index^®		4/27/2018		4		766,244		771,216		4,972
Mini-Russell 2000		6/15/2018		15		1,183,308		1,148,400		(34,908	)
MSCI Singapore		4/27/2018		25		741,859		751,631		9,772
MSCI Taiwan Index		4/27/2018		19		766,070		774,630		8,560
S&P CNX Nifty Futures Index		4/26/2018		37		742,335		757,945		15,610
TOPIX		6/07/2018		4		632,301		645,270		12,969
UK Long Gilt		6/27/2018		2		338,881		344,633		5,752

Total									$	(224,757	)

At March 31, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
U.S. Dollar Index		6/18/2018		121	$	10,841,385	$	10,867,252	$	(25,867	)

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

•

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Exchange-Traded Funds	$	18,193,879	$	—	$	—	$	18,193,879
Short-Term Investments*		—		24,370,748		—		24,370,748
Futures Contracts (unrealized appreciation)		39,941		29,142		—		69,083

Total	$	18,233,820	$	24,399,890	$	—	$	42,633,710

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Futures Contracts (unrealized depreciation)	$	(214,587	)	$	(105,120	)	$	—	$	(319,707	)

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended March 31, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.

The Fund tactically allocates its investments across a range of asset classes and global markets. The Fund will typically use a variety of derivative instruments, in particular long positions in futures and forward contracts, to achieve exposures to global equity and fixed income securities. The Fund may also hold short positions in derivatives for hedging purposes. During the period ended March 31, 2018, the Fund used long contracts on U.S. and foreign equity market indices and U.S. and foreign government bonds and short contracts on U.S. dollar index to gain investment exposures in accordance with its objectives.

The following is a summary of derivative instruments for the Fund, as of March 31, 2018:


Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Interest rate contracts	$	17,200
Equity contracts		51,883

Total exchange-traded asset derivatives	$	69,083


Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Foreign exchange contracts	$	(25,867	)
Equity contracts		(293,840	)

Total exchange-traded liability derivatives	$	(319,707	)

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2018:


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Exchange-traded counterparty credit risk
Futures contracts	$	69,083	$	69,083
Margin with brokers		1,498,718		1,498,718

Total exchange-traded counterparty credit risk	$	1,567,801	$	1,567,801

Investment Summary at March 31, 2018 (Unaudited)


Certificates of Deposit	48.7	%
Exchange-Traded Funds	42.3
Commercial Paper	2.6
Other Notes	2.3
Other Investments, less than 2% each	3.0

Total Investments	98.9
Other assets less liabilities (including futures contracts)	1.1

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

ASG Global Alternatives Fund


Shares		Description	Value (†)
	Common Stocks – 5.9%
		Aerospace & Defense – 0.1%
	12,807	AAR Corp.	$	564,917
	40,667	Arconic, Inc.		936,968

				1,501,885

		Airlines – 0.1%
	13,337	United Continental Holdings, Inc.(a)		926,521

		Banks – 0.2%
	44,085	Bank of America Corp.		1,322,109
	99,046	Investors Bancorp, Inc.		1,350,988

				2,673,097

		Beverages – 0.1%
	8,794	Constellation Brands, Inc., Class A		2,004,329

		Building Products – 0.1%
	21,389	Armstrong World Industries, Inc.(a)		1,204,201

		Capital Markets – 0.3%
	31,116	Bank of New York Mellon Corp. (The)		1,603,407
	2,843	BlackRock, Inc.		1,540,110
	24,379	Morgan Stanley		1,315,491

				4,459,008

		Chemicals – 0.2%
	19,979	DowDuPont, Inc.		1,272,862
	95,068	Platform Specialty Products Corp.(a)		915,505

				2,188,367

		Commercial Services & Supplies – 0.1%
	13,667	Brink’s Co. (The)		975,140

		Communications Equipment – 0.1%
	26,527	CommScope Holding Co., Inc.(a)		1,060,284

		Containers & Packaging – 0.1%
	26,075	Bemis Co., Inc.		1,134,784

		Diversified Telecommunication Services – 0.1%
	41,147	Zayo Group Holdings, Inc.(a)		1,405,582

		Electronic Equipment, Instruments & Components – 0.1%
	11,189	Itron, Inc.(a)		800,573

		Food & Staples Retailing – 0.1%
	27,345	Sysco Corp.		1,639,606

		Food Products – 0.1%
	41,947	Mondelez International, Inc., Class A		1,750,448


Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Equipment & Supplies – 0.2%
	26,688	Baxter International, Inc.	$	1,735,788
	12,712	Zimmer Biomet Holdings, Inc.		1,386,116

				3,121,904

		Health Care Providers & Services – 0.1%
	15,496	MEDNAX, Inc.(a)		862,043

		Hotels, Restaurants & Leisure – 0.1%
	2,381	Chipotle Mexican Grill, Inc.(a)		769,325
	69,419	Wendy’s Co. (The)		1,218,303

				1,987,628

		Household Products – 0.2%
	28,687	Procter & Gamble Co. (The)		2,274,305

		Independent Power & Renewable Electricity Producers – 0.0%
	22,626	NRG Energy, Inc.		690,772

		Industrial Conglomerates – 0.1%
	81,831	General Electric Co.		1,103,082

		Insurance – 0.1%
	32,767	American International Group, Inc.		1,783,180

		Internet Software & Services – 0.3%
	1,382	Alphabet, Inc., Class A(a)		1,433,327
	32,037	Cars.com, Inc.(a)		907,608
	8,124	Facebook, Inc., Class A(a)		1,298,134
	6,236	IAC/InterActiveCorp(a)		975,186

				4,614,255

		IT Services – 0.5%
	4,802	Alliance Data Systems Corp.		1,022,154
	11,768	Automatic Data Processing, Inc.		1,335,433
	23,457	Cognizant Technology Solutions Corp., Class A		1,888,288
	14,043	DXC Technology Co.		1,411,743
	74,831	First Data Corp., Class A(a)		1,197,296

				6,854,914

		Machinery – 0.2%
	22,162	Navistar International Corp.(a)		775,005
	25,744	Terex Corp.		963,083
	36,670	Trinity Industries, Inc.		1,196,542

				2,934,630

		Media – 0.3%
	19,335	AMC Networks, Inc., Class A(a)		999,619
	36,624	Comcast Corp., Class A		1,251,442
	34,197	Lions Gate Entertainment Corp.		883,309
	1,736	Loral Space & Communications, Inc.(a)		72,304
	29,886	Twenty-First Century Fox, Inc., Class B		1,086,954

				4,293,628


Shares		Description	Value (†)
	Common Stocks – continued
		Metals & Mining – 0.1%
	43,728	Freeport-McMoRan, Inc.(a)	$	768,301

		Oil, Gas & Consumable Fuels – 0.4%
	24,807	CVR Energy, Inc.		749,668
	21,617	Cheniere Energy, Inc.(a)		1,155,429
	19,187	EQT Corp.		911,574
	14,981	Energen Corp.(a)		941,706
	17,123	Hess Corp.		866,766
	25,379	Peabody Energy Corp.		926,333

				5,551,476

		Pharmaceuticals – 0.0%
	20,276	Medicines Co. (The)(a)		667,891

		Real Estate Management & Development – 0.2%
	32,647	CBRE Group, Inc., Class A(a)		1,541,591
	13,091	Howard Hughes Corp. (The)(a)		1,821,351

				3,362,942

		REITs - Diversified – 0.1%
	58,203	Forest City Realty Trust, Inc., Class A		1,179,193

		Semiconductors & Semiconductor Equipment – 0.1%
	15,533	Xilinx, Inc.		1,122,104

		Software – 0.7%
	24,681	CDK Global, Inc.		1,563,295
	16,325	Citrix Systems, Inc.(a)		1,514,960
	15,116	Dell Technologies, Inc., Class V(a)		1,106,642
	23,521	Fortinet, Inc.(a)		1,260,255
	15,368	Microsoft Corp.		1,402,637
	7,191	Monotype Imaging Holdings, Inc.		161,438
	26,262	Open Text Corp.		913,918
	13,172	salesforce.com, inc.(a)		1,531,904

				9,455,049

		Specialty Retail – 0.2%
	5,752	Advance Auto Parts, Inc.		681,900
	13,703	Lowe’s Cos., Inc.		1,202,438
	13,218	Tiffany & Co.		1,290,870

				3,175,208

		Textiles, Apparel & Luxury Goods – 0.1%
	9,576	Deckers Outdoor Corp.(a)		862,127
	19,149	NIKE, Inc., Class B		1,272,260

				2,134,387

		Trading Companies & Distributors – 0.1%
	26,784	HD Supply Holdings, Inc.(a)		1,016,185

		Total Common Stocks (Identified Cost $82,720,168)		82,676,902


Shares		Description	Value (†)
		Exchange-Traded Funds – 3.8%
	634,655	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $54,816,167)	$	54,351,854


Principal Amount
	Short-Term Investments – 93.5%
		Certificates of Deposit – 76.7%
	$50,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.570%, 4/02/2018		49,999,768
	13,500,000	DZ Bank (NY), 1.720%, 4/03/2018		13,499,960
	50,000,000	Landesbank Hessen (NY), 1.800%, 4/03/2018		50,000,622
	25,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.710%, 4/04/2018		25,000,014
	50,000,000	Cooperatieve Rabobank U.A. (NY), 1-month LIBOR + 0.100%, 1.791%, 4/06/2018(b)		50,000,700
	50,000,000	DZ Bank (NY), 1.710%, 4/24/2018		49,995,682
	20,000,000	DNB Nor Bank ASA (NY), 1.720%, 4/24/2018		20,000,081
	25,000,000	Norinchukin Bank (NY), 1.720%, 4/24/2018		24,997,280
	50,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 1.740%, 4/25/2018		49,994,383
	60,000,000	Abbey National Treasury Services PLC, 1.770%, 4/25/2018		59,996,627
	37,000,000	KBC Bank NV (NY), 1.950%, 4/27/2018		36,999,963
	50,000,000	Bank of Montreal (IL), 1-month LIBOR + 0.280%, 1.991%, 5/08/2018(b)(c)		50,015,200
	35,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.110%, 1.951%, 5/21/2018(b)		35,003,885
	30,500,000	Swedbank (NY), 1-month LIBOR + 0.110%, 1.796%, 6/04/2018(b)(c)		30,501,525
	30,000,000	Swedbank (NY), 1-month LIBOR + 0.110%, 1.796%, 6/04/2018(b)(c)		30,003,480
	50,000,000	Mizuho Bank Ltd. (NY), 1.970%, 6/04/2018		49,989,732
	25,000,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.200%, 1.886%, 6/05/2018(b)(c)		24,996,025
	30,000,000	BNP Paribas (NY), 2.040%, 6/05/2018		30,002,041
	25,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.120%, 1.811%, 6/06/2018(b)(c)		25,000,925
	25,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.920%, 6/12/2018(b)(c)		25,002,700
	8,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.220%, 6/14/2018		8,000,187
	60,000,000	Bank of Nova Scotia (TX), 1-month LIBOR + 0.150%, 1.927%, 6/15/2018(b)(c)		60,001,740
	60,000,000	Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.200%, 1.977%, 6/15/2018(b)(c)		59,988,000
	60,000,000	Credit Industriel et Commercial (NY), 2.250%, 6/20/2018		60,005,747


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
	$17,000,000	Norinchukin Bank (NY), 2.300%, 7/02/2018	$	17,000,561
	35,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018(c)		34,959,633
	25,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.920%, 7/10/2018(b)(c)		24,996,575
	40,000,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.018%, 7/19/2018(b)(c)		39,989,080
	25,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.350%, 2.014%, 9/04/2018(b)		24,995,475
	20,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 1.946%, 1/03/2019(b)		19,977,680

				1,080,915,271

		Time Deposits – 8.1%
	54,000,000	Canadian Imperial Bank of Commerce, 1.640%, 4/02/2018		54,000,000
	61,000,000	National Bank of Kuwait, 1.690%, 4/02/2018(d)		61,000,000

				115,000,000

		Commercial Paper – 7.1%
	40,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.903%, 4/17/2018(e)		39,960,966
	10,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.933%, 4/24/2018(e)		9,987,669
	50,000,000	ING (U.S.) Funding LLC, 1-month LIBOR + 0.130%, 1.938%, 5/17/2018(b)(e)		50,006,850

				99,955,485

		Treasuries – 1.0%
	14,250,000	U.S. Treasury Bills, 1.305%-1.398%, 4/05/2018(e)(f)(g)		14,248,069
	8,450,000	U.S. Treasury Bills, 1.550%, 5/03/2018(e)(f)		8,438,171

				22,686,240

		Total Short-Term Investments (Identified Cost $1,318,641,745)		1,318,556,996

		Total Investments – 103.2% (Identified Cost $1,456,178,080)		1,455,585,752
		Other assets less liabilities – (3.2)%		(45,734,640	)

		Net Assets – 100.0%	$	1,409,851,112

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2018, the value of the Fund’s investment in the Subsidiary was $13,070,325, representing 0.93% of the Fund’s net assets.

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.


Value	Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
$90,543,055	$	1,777,167		0.13	%

*	Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

(a)	Non-income producing security.

(b)	Variable rate security. Rate as of March 31, 2018 is disclosed.

(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(d)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of March 31, 2018 is disclosed.

(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(g)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.


ETF		Exchange-Traded Fund
LIBOR		London Interbank Offered Rate
CHF		Swiss Franc
SEK		Swedish Krona

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

At March 31, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		6/20/2018	SEK		B	82,000,000	$	10,008,846	$	9,876,828	$	(132,018	)
UBS AG		6/20/2018	CHF		S	13,875,000		14,733,460		14,608,036		125,424

Total											$	(6,594	)

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At March 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		6/29/2018		608	$	129,171,499	$	129,266,501	$	95,002
Australian Dollar		6/18/2018		321		25,258,640		24,639,960		(618,680	)
British Pound		6/18/2018		155		13,518,906		13,618,687		99,781
DAX		6/15/2018		135		51,657,077		50,419,316		(1,237,761	)
E-mini S&P 500^®		6/15/2018		793		108,305,587		104,794,950		(3,510,637	)
Euro		6/18/2018		303		47,035,638		46,807,819		(227,819	)
Euro-BTP		6/07/2018		561		93,855,343		95,804,277		1,948,934
Euro-OAT		6/07/2018		154		28,760,679		29,293,144		532,465
FTSE 100 Index		6/15/2018		328		32,721,779		32,218,772		(503,007	)


Financial Futures – continued	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
German Euro Bund		6/07/2018		983	$	190,748,766	$	192,835,694	$	2,086,928
Hang Seng Index^®		4/27/2018		41		7,868,568		7,904,967		36,399
Mini-Russell 2000		6/15/2018		162		12,779,643		12,402,720		(376,923	)
MSCI Emerging Markets Index		6/15/2018		254		15,126,900		15,085,060		(41,840	)
TOPIX		6/07/2018		378		59,901,226		60,978,056		1,076,830

Total									$	(640,328	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/20/2018		194	$	10,417,800	$	9,715,763	$	(702,037	)
Brent Crude Oil		4/30/2018		154		9,950,990		10,678,360		727,370
Copper LME		6/20/2018		240		42,099,900		40,279,500		(1,820,400	)
Gold		6/27/2018		458		60,490,840		60,790,340		299,500
Low Sulfur Gasoil		5/10/2018		140		8,023,700		8,652,000		628,300
Natural Gas		4/26/2018		182		5,021,380		4,974,060		(47,320	)
New York Harbor ULSD		4/30/2018		100		7,868,444		8,488,200		619,756
Nickel LME		6/20/2018		105		8,590,050		8,376,480		(213,570	)
WTI Crude Oil		4/20/2018		684		42,459,130		44,418,960		1,959,830
Zinc LME		6/20/2018		115		9,545,000		9,421,375		(123,625	)

Total									$	1,327,804

At March 31, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		6/15/2018		64	$	6,344,758	$	6,371,343	$	(26,585	)
10 Year Canada Government Bond		6/20/2018		628		63,898,878		64,961,819		(1,062,941	)
10 Year U.S. Treasury Note		6/20/2018		580		69,746,688		70,261,563		(514,875	)
30 Year U.S. Treasury Bond		6/20/2018		117		16,620,937		17,155,125		(534,188	)
Canadian Dollar		6/19/2018		178		13,896,465		13,817,250		79,215
Eurodollar		6/18/2018		2,854		698,382,063		697,089,500		1,292,563
UK Long Gilt		6/27/2018		80		13,591,219		13,785,324		(194,105	)

Total									$	(960,916	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Copper LME		6/20/2018		18	$	2,970,698	$	3,020,963	$	(50,265	)

¹	Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

•

Level 1 - quoted prices in active markets for identical assets or liabilities;

•

Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

•

Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	82,676,902	$	—	$	—	$	82,676,902
Exchange-Traded Funds		54,351,854		—		—		54,351,854
Short-Term Investments*		—		1,318,556,996		—		1,318,556,996
Forward Foreign Currency Contracts (unrealized appreciation)		—		125,424		—		125,424
Futures Contracts (unrealized appreciation)		11,446,474		36,399		—		11,482,873

Total	$	148,475,230	$	1,318,718,819	$	—	$	1,467,194,049

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(132,018	)	$	—	$	(132,018	)
Futures Contracts (unrealized depreciation)		(10,065,810	)		(1,740,768	)		—		(11,806,578	)

Total	$	(10,065,810	)	$	(1,872,786	)	$	—	$	(11,938,596	)

*	Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

For the period ended March 31, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of and underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended March 31, 2018, the Fund used long contracts on U.S. and foreign equity market indices, long and short contracts on U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short contracts on short-term interest rates in accordance with these objectives.

The following is a summary of derivative instruments for the Fund, as of March 31, 2018:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	125,424	$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	5,955,892
Foreign exchange contracts		—		178,996
Commodity contracts		—		4,234,756
Equity contracts		—		1,113,229

Total exchange-traded asset derivatives	$	125,424	$	11,482,873

Total asset derivatives	$	125,424	$	11,482,873


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(132,018	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(2,332,694	)
Foreign exchange contracts		—			(846,499	)
Commodity contracts		—			(2,957,217	)
Equity contracts		—			(5,670,168	)

Total exchange-traded liability derivatives	$	(132,018	)	$	(11,806,578	)

Total liability derivatives	$	(132,018	)	$	(11,806,578	)

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of March 31, 2018, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(6,594	)	$	605,144

rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2018:


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	125,424	$	—
Collateral pledged to UBS AG		605,144		605,144

Total over-the-counter counterparty credit risk	$	730,568	$	605,144

Exchange-traded counterparty credit risk
Futures contracts		11,482,873		11,482,873
Margin with brokers		45,050,275		45,050,275
Total exchange-traded counterparty credit risk	$	56,533,148	$	56,533,148
Total counterparty credit risk	$	57,263,716	$	57,138,292

Investment Summary at March 31, 2018 (Unaudited)


Certificates of Deposit	76.7	%
Time Deposits	8.1
Commercial Paper	7.1
Common Stocks	5.9
Exchange-Traded Funds	3.8
Treasuries	1.6

Total Investments	103.2
Other assets less liabilities (including forward foreign currency and futures contracts)	(3.2	)

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 91.7% of Net Assets
		Certificates of Deposit – 71.2%
$	75,000,000	Credit Agricole Corporate & Investment Bank (NY), 1.570%, 4/02/2018	$	74,999,653
	23,000,000	Mizuho Bank Ltd. (NY), 1.700%, 4/03/2018		22,999,896
	100,000,000	Landesbank Hessen (NY), 1.800%, 4/03/2018		100,001,245
	50,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.710%, 4/04/2018		50,000,027
	21,500,000	Banco Del Estado de Chile (NY), 1.690%, 4/05/2018		21,500,000
	50,000,000	Cooperatieve Rabobank U.A. (NY), 1-month LIBOR + 0.100%, 1.791%, 4/06/2018(a)		50,000,700
	40,000,000	Landesbank Hessen (NY), 1.960%, 4/16/2018		40,002,448
	90,000,000	DZ Bank (NY), 1.710%, 4/24/2018		89,992,228
	55,000,000	DNB Nor Bank ASA (NY), 1.720%, 4/24/2018		55,000,223
	50,000,000	Norinchukin Bank (NY), 1.720%, 4/24/2018		49,994,559
	40,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 1.740%, 4/25/2018		39,995,506
	100,000,000	Abbey National Treasury Services PLC, 1.770%, 4/25/2018		99,994,379
	80,000,000	Mizuho Bank Ltd. (NY), 1-month LIBOR + 0.190%, 2.062%, 4/25/2018(a)		80,001,680
	10,000,000	KBC Bank NV (NY), 1.950%, 4/27/2018		10,000,000
	90,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 1-month LIBOR + 0.200%, 1.864%, 5/01/2018(a)		90,020,250
	40,000,000	Abbey National Treasury Services PLC, 2.000%, 5/01/2018		40,005,014
	120,000,000	Bank of Montreal (IL), 1-month LIBOR + 0.280%, 1.991%, 5/08/2018(a)(b)		120,036,480
	75,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.110%, 1.951%, 5/21/2018(a)		75,008,325
	50,000,000	Sumitomo Mitsui Trust Bank (NY), 2.000%, 5/21/2018		50,000,433
	15,600,000	Toronto-Dominion Bank (NY), 1.950%, 5/22/2018		15,601,408
	25,000,000	Swedbank (NY), 1-month LIBOR + 0.110%, 1.796%, 6/04/2018(a)		25,001,250
	62,100,000	Swedbank (NY), 1-month LIBOR + 0.110%, 1.796%, 6/04/2018(a)		62,107,204
	50,000,000	Mizuho Bank Ltd. (NY), 1.970%, 6/04/2018		49,989,732
	45,000,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.200%, 1.886%, 6/05/2018(a)		44,992,845
	75,000,000	BNP Paribas (NY), 2.040%, 6/05/2018		75,005,101


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
$	25,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.120%, 1.811%, 6/06/2018(a)	$	25,000,925
	25,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.920%, 6/12/2018(a)(b)		25,002,700
	16,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.220%, 6/14/2018		16,000,373
	125,000,000	Bank of Nova Scotia (TX), 1-month LIBOR + 0.150%, 1.927%, 6/15/2018(a)(b)		125,003,625
	90,000,000	Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.200%, 1.977%, 6/15/2018(a)(b)		89,982,000
	130,000,000	Credit Industriel et Commercial (NY), 2.250%, 6/20/2018		130,012,453
	35,000,000	Norinchukin Bank (NY), 2.300%, 6/20/2018		35,007,124
	30,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018(b)		29,965,400
	50,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.920%, 7/10/2018(a)(b)		49,993,150
	40,500,000	Swedbank (NY), 1-month LIBOR + 0.150%, 1.890%, 7/11/2018(a)(b)		40,490,320
	100,000,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.018%, 7/19/2018(a)(b)		99,972,700
	75,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.350%, 2.014%, 9/04/2018(a)		74,986,425
	50,000,000	Wells Fargo Bank NA, 1-month LIBOR + 0.210%, 1.880%, 9/06/2018(a)		49,950,350
	41,000,000	Skandinaviska Enskilda Banken AB (NY), 1-month LIBOR + 0.300%, 2.086%, 9/14/2018(a)		40,992,497
	60,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 1.946%, 1/03/2019(a)(b)		59,933,040
	36,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.250%, 2.542%, 3/27/2019(a)		35,996,436

				2,360,540,104

		Time Deposits – 7.8%
	128,000,000	Canadian Imperial Bank of Commerce, 1.640%, 4/02/2018		128,000,000
	129,350,000	National Bank of Kuwait, 1.690%, 4/02/2018(c)		129,350,000

				257,350,000

		Commercial Paper – 6.8%
	9,500,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.903%, 4/17/2018(d)		9,490,729
	40,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.903%, 4/19/2018(d)		39,956,507
	27,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.933%, 4/24/2018(d)		26,966,708
	50,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.933%, 4/26/2018(d)		49,934,028


Principal Amount		Description	Value (†)
	Commercial Paper – continued
	$100,000,000	ING (U.S.) Funding LLC, 1-month LIBOR + 0.130%, 1.938%, 5/17/2018(a)	$	100,013,700

				226,361,672

		Treasuries – 3.2%
	61,000,000	U.S. Treasury Bills, 1.305%-1.378%, 4/05/2018(d)(e)(f)		60,991,735
	29,400,000	U.S. Treasury Bills, 1.383%-1.550%, 5/03/2018(d)(e)(f)		29,358,842
	16,000,000	U.S. Treasury Bills, 1.648%, 6/07/2018(d)(e)		15,951,255

				106,301,832

		Other Notes – 2.7%
	38,500,000	Bank of America NA, 1.830%, 8/02/2018(c)		38,498,731
	50,000,000	Bank of America NA, 1.966%, 8/16/2018(c)		49,998,141

				88,496,872

		Total Short-Term Investments (Identified Cost $3,039,210,975)		3,039,050,480

		Total Investments – 91.7% (Identified Cost $3,039,210,975)		3,039,050,480
		Other assets less liabilities – 8.3%		273,682,374

		Net Assets – 100.0%	$	3,312,732,854

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2018, the value of the Fund’s investment in the Subsidiary was $69,334,826, representing 2.1% of the Fund’s net assets.

(†)

Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Broker-dealer bid prices may be used to value debt securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.


Value		Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
$	706,772,413	$	10,454,454		0.32	%

*	Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

(a)	Variable rate security. Rate as of March 31, 2018 is disclosed.

(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(c)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of March 31, 2018 is disclosed.

(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(f)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.


LIBOR		London Interbank Offered Rate
CHF		Swiss Franc
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PLN		Polish Zloty
SGD		Singapore Dollar
SEK		Swedish Krona
TRY		Turkish Lira
ZAR		South African Rand

Forward Foreign Currency Contracts

At March 31, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		6/20/2018	MXN		B	5,444,000,000		289,318,413	$	295,847,388	$	6,528,975
UBS AG		6/20/2018	NZD		B	373,600,000		272,271,444		269,931,607		(2,339,837	)
UBS AG		6/20/2018	NZD		S	54,000,000		38,899,910		39,015,810		(115,900	)
UBS AG		6/20/2018	NOK		B	1,738,000,000		224,975,792		222,254,389		(2,721,403	)
UBS AG		6/20/2018	NOK		S	246,000,000		31,363,321		31,458,331		(95,010	)
UBS AG		6/20/2018	PLN		B	802,500,000		235,681,424		234,768,788		(912,636	)
UBS AG		6/20/2018	PLN		S	30,500,000		8,884,047		8,922,676		(38,629	)
UBS AG		6/20/2018	SGD		B	599,875,000		457,332,995		458,341,391		1,008,396
UBS AG		6/20/2018	SGD		B	25,625,000		19,615,888		19,579,076		(36,812	)
UBS AG		6/20/2018	SGD		S	33,750,000		25,626,171		25,787,076		(160,905	)
UBS AG		6/20/2018	ZAR		B	1,619,000,000		134,844,323		135,342,165		497,842
UBS AG		6/20/2018	ZAR		B	946,000,000		80,195,649		79,081,957		(1,113,692	)
UBS AG		6/20/2018	ZAR		S	192,500,000		15,827,992		16,092,259		(264,267	)
UBS AG		6/20/2018	SEK		B	772,000,000		94,509,540		92,986,722		(1,522,818	)
UBS AG		6/20/2018	SEK		S	126,000,000		15,383,792		15,176,589		207,203
UBS AG		6/20/2018	SEK		S	354,000,000		42,587,339		42,638,989		(51,650	)
UBS AG		6/20/2018	CHF		B	132,875,000		141,317,109		139,894,975		(1,422,134	)
UBS AG		6/20/2018	CHF		S	54,375,000		57,434,473		57,247,709		186,764
UBS AG		6/20/2018	CHF		S	17,250,000		18,129,254		18,161,342		(32,088	)
UBS AG		6/20/2018	TRY		B	386,700,000		97,874,823		95,773,667		(2,101,156	)
UBS AG		6/20/2018	TRY		S	150,900,000		37,605,893		37,373,277		232,616
UBS AG		6/20/2018	TRY		S	327,300,000		80,322,115		81,062,119		(740,004	)

Total											$	(5,007,145	)

Futures Contracts

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At March 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		6/15/2018		3,479	$	344,941,601	$	346,342,198	$	1,400,597
3 Year Australia Government Bond		6/15/2018		895		76,426,606		76,421,394		(5,212	)
AEX-Index^®		4/20/2018		229		30,164,592		29,803,725		(360,867	)
ASX SPI 200™		6/21/2018		648		74,437,173		72,004,166		(2,433,007	)
Australian Dollar		6/18/2018		1,778		139,470,820		136,479,280		(2,991,540	)
British Pound		6/18/2018		3,777		332,727,400		331,856,662		(870,738	)
CAC 40^®		4/20/2018		82		5,296,188		5,211,752		(84,436	)
E-mini Dow		6/15/2018		620		77,324,510		74,855,700		(2,468,810	)
E-mini NASDAQ 100		6/15/2018		659		93,856,691		86,908,920		(6,947,771	)
E-mini S&P 500^®		6/15/2018		491		67,241,485		64,885,650		(2,355,835	)
E-mini S&P MidCap 400^®		6/15/2018		429		82,844,855		80,784,990		(2,059,865	)
Euribor		6/18/2018		3,288		1,014,655,855		1,014,666,222		10,367
Euro		6/18/2018		4,152		644,939,131		641,406,150		(3,532,981	)
Euro Schatz		6/07/2018		6,980		960,440,618		961,701,638		1,261,020
Euro-BTP		6/07/2018		3,615		606,691,616		617,348,418		10,656,802
Euro-Buxl^® 30 Year Bond		6/07/2018		1,483		298,966,594		301,778,295		2,811,701
Euro-OAT		6/07/2018		5,728		1,079,831,182		1,089,552,768		9,721,586
FTSE MIB		6/15/2018		154		21,168,257		20,822,417		(345,840	)
German Euro BOBL		6/07/2018		3,411		548,490,423		550,864,637		2,374,214
German Euro Bund		6/07/2018		2,833		552,708,896		555,751,294		3,042,398
Hang Seng China Enterprises Index		4/27/2018		837		64,451,081		65,105,793		654,712
Hang Seng Index^®		4/27/2018		399		76,571,925		76,928,825		356,900
Japanese Yen		6/18/2018		280		33,574,781		33,052,250		(522,531	)
Mini-Russell 2000		6/15/2018		857		68,309,298		65,611,920		(2,697,378	)
MSCI EAFE Index		6/15/2018		826		83,335,660		82,624,780		(710,880	)
MSCI Emerging Markets Index		6/15/2018		895		54,297,870		53,154,050		(1,143,820	)
MSCI Singapore		4/27/2018		514		15,252,731		15,453,518		200,787
MSCI Taiwan Index		4/27/2018		1,242		50,071,230		50,636,340		565,110
Nikkei 225™		6/07/2018		173		33,945,997		34,891,030		945,033
S&P CNX Nifty Futures Index		4/26/2018		567		11,375,851		11,614,995		239,144
S&P/TSX 60 Index		6/14/2018		170		24,479,062		23,909,652		(569,410	)
Short-Term Euro-BTP		6/07/2018		4,049		559,322,108		561,880,201		2,558,093


Financial Futures - continued	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
TOPIX		6/07/2018		214	$	33,828,110	$	34,521,968	$	693,858
Ultra Long U.S. Treasury Bond		6/20/2018		174		27,753,500		27,921,563		168,063

Total									$	7,559,464


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/18/2018		1,203	$	64,601,100	$	60,247,744	$	(4,353,356	)
Brent Crude Oil		4/30/2018		1,472		97,971,130		102,068,480		4,097,350
Cocoa		5/15/2018		537		12,736,840		13,725,720		988,880
Copper		5/29/2018		374		29,779,725		28,288,425		(1,491,300	)
Copper LME		6/18/2018		500		87,708,125		83,915,625		(3,792,500	)
Cotton		5/08/2018		1,100		43,530,650		44,803,000		1,272,350
Gasoline		4/30/2018		970		80,070,984		82,319,244		2,248,260
Gold		6/27/2018		1,041		138,399,020		138,171,930		(227,090	)
Low Sulfur Gasoil		5/10/2018		1,451		85,822,150		89,671,800		3,849,650
New York Harbor ULSD		4/30/2018		783		63,520,321		66,462,606		2,942,285
Nickel LME		6/18/2018		252		20,616,120		20,103,552		(512,568	)
Soybean		5/14/2018		1,540		81,225,750		80,445,750		(780,000	)
Soybean Meal		5/14/2018		1,715		63,644,930		65,856,000		2,211,070
WTI Crude Oil		4/20/2018		1,318		83,276,800		85,590,920		2,314,120
Zinc LME		6/18/2018		562		46,646,000		46,041,850		(604,150	)

Total									$	8,163,001

At March 31, 2018, open short futures contracts were as follows:
Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Canada Government Bond		6/20/2018		992	$	100,759,203	$	102,614,848	$	(1,855,645	)
10 Year U.S. Treasury Note		6/20/2018		1,867		224,067,188		226,169,547		(2,102,359	)
2 Year U.S. Treasury Note		6/29/2018		5,563		1,181,746,214		1,182,745,959		(999,745	)
30 Year U.S. Treasury Bond		6/20/2018		528		75,180,625		77,418,000		(2,237,375	)
5 Year U.S. Treasury Note		6/29/2018		3,628		413,330,009		415,264,284		(1,934,275	)
Canadian Dollar		6/19/2018		694		53,479,755		53,871,750		(391,995	)
DAX		6/15/2018		120		44,090,335		44,817,170		(726,835	)
EURO STOXX 50^®		6/15/2018		1,091		43,295,218		44,139,433		(844,215	)
Eurodollar		6/18/2018		19,486		4,770,282,188		4,759,455,500		10,826,688
FTSE 100 Index		6/15/2018		1,183		113,937,080		116,203,682		(2,266,602	)
FTSE/JSE Top 40 Index		6/21/2018		183		7,600,904		7,641,321		(40,417	)
IBEX 35		4/20/2018		1,078		126,337,013		127,245,935		(908,922	)
OMXS30^®		4/20/2018		1,889		33,969,412		34,596,859		(627,447	)
Sterling		6/20/2018		8,457		1,470,812,841		1,469,650,516		1,162,325
UK Long Gilt		6/27/2018		398		67,554,542		68,581,988		(1,027,446	)

Total									$	(3,974,265	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/18/2018		2,147	$	110,535,059	$	107,524,444	$	3,010,615
Coffee		5/18/2018		1,661		76,570,481		73,592,681		2,977,800
Copper LME		6/18/2018		371		62,918,001		62,265,394		652,607
Corn		7/13/2018		3,028		57,966,475		59,992,250		(2,025,775	)
Live Cattle		6/29/2018		1,572		67,095,860		64,499,160		2,596,700
Natural Gas		4/26/2018		1,507		42,012,320		41,186,310		826,010
Nickel LME		6/18/2018		85		6,979,410		6,780,960		198,450
Silver		5/29/2018		712		59,251,030		57,914,080		1,336,950
Soybean Oil		5/14/2018		2,308		43,993,200		44,133,576		(140,376	)
Sugar		4/30/2018		5,881		84,812,101		81,345,992		3,466,109
Wheat		7/13/2018		1,683		39,389,388		39,424,275		(34,887	)
Zinc LME		6/18/2018		123		9,980,891		10,076,775		(95,884	)

Total									$	12,768,319

¹	Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

•

Level 1 - quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	3,039,050,480	$	—	$	3,039,050,480
Forward Foreign Currency Contracts (unrealized appreciation)		—		8,661,796		—		8,661,796
Futures Contracts (unrealized appreciation)		82,822,738		1,815,866		—		84,638,604

Total	$	82,822,738	$	3,049,528,142	$	—	$	3,132,350,880

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(13,668,941	)	$	—	$	(13,668,941	)
Futures Contracts (unrealized depreciation)		(51,483,497	)		(8,638,588	)		—		(60,122,085	)

Total	$	(51,483,497	)	$	(22,307,529	)	$	—	$	(73,791,026	)

*	Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

For the period ended March 31, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended March 31, 2018, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, commodities (through investments in the Subsidiary) and short-term interest rates to capture the exposures suggested by the quantitative investment models.

The following is a summary of derivative instruments for the Fund, as of March 31, 2018:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	8,661,796	$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	45,993,854
Equity contracts		—		3,655,544
Commodity contracts		—		34,989,206

Total exchange-traded asset derivatives	$	—	$	84,638,604

Total asset derivatives	$	8,661,796	$	84,638,604


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(13,668,941	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(10,162,057	)
Foreign exchange contracts		—			(8,309,785	)
Equity contracts		—			(27,592,357	)
Commodity contracts		—			(14,057,886	)

Total exchange-traded liability derivatives	$	—		$	(60,122,085	)

Total liability derivatives	$	(13,668,941	)	$	(60,122,085	)

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of March 31, 2018, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(5,007,145	)	$	118,310,299


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	8,661,796	$	—
Collateral pledged to UBS AG		118,310,299		118,310,299

Total over-the-counter counterparty credit risk		126,972,095		118,310,299

Exchange-traded counterparty credit risk
Futures contracts		84,638,604		84,638,604
Margin with brokers		248,392,662		248,392,662

Total exchange-traded counterparty credit risk		333,031,266		333,031,266

Total counterparty credit risk	$	460,003,361	$	451,341,565

Investment Summary at March 31, 2018 (Unaudited)


Certificates of Deposit	71.2	%
Time Deposits	7.8
Commercial Paper	6.8
Treasuries	3.2
Other Notes	2.7

Total Investments	91.7
Other assets less liabilities (including forward foreign currency and futures contracts)	8.3

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks – 55.5% of Net Assets
		Aerospace & Defense – 1.0%
	3,197	Boeing Co. (The)	$	1,048,232
	1,508	Northrop Grumman Corp.		526,473

				1,574,705

		Air Freight & Logistics – 0.7%
	2,288	FedEx Corp.		549,372
	5,841	United Parcel Service, Inc., Class B		611,319

				1,160,691

		Airlines – 0.0%
	1,237	Southwest Airlines Co.		70,855

		Auto Components – 0.1%
	3,556	BorgWarner, Inc.		178,618

		Banks – 3.9%
	46,460	Bank of America Corp.		1,393,336
	13,986	Citigroup, Inc.		944,055
	13,360	Fifth Third Bancorp		424,180
	15,926	JPMorgan Chase & Co.		1,751,382
	11,260	U.S. Bancorp		568,630
	22,030	Wells Fargo & Co.		1,154,592

				6,236,175

		Beverages – 1.2%
	19,454	Coca-Cola Co. (The)		844,887
	2,661	Dr Pepper Snapple Group, Inc.		315,009
	7,311	PepsiCo, Inc.		797,996

				1,957,892

		Biotechnology – 1.8%
	8,721	AbbVie, Inc.		825,443
	4,379	Amgen, Inc.		746,532
	1,781	Biogen, Inc.(a)		487,673
	6,256	Celgene Corp.(a)		558,098
	3,559	Gilead Sciences, Inc.		268,313

				2,886,059

		Capital Markets – 2.0%
	8,108	Bank of New York Mellon Corp. (The)		417,805
	1,620	BlackRock, Inc.		877,587
	2,887	CME Group, Inc.		466,944
	5,543	Intercontinental Exchange, Inc.		401,978
	10,137	Invesco Ltd.		324,485
	2,194	Moody’s Corp.		353,892
	2,331	S&P Global, Inc.		445,361

				3,288,052


Shares		Description	Value (†)
	Common Stocks – continued
		Chemicals – 1.3%
	1,432	Air Products & Chemicals, Inc.	$	227,731
	10,899	DowDuPont, Inc.		694,375
	1,961	Ecolab, Inc.		268,794
	1,181	International Flavors & Fragrances, Inc.		161,691
	2,439	Monsanto Co.		284,607
	1,828	PPG Industries, Inc.		204,005
	553	Sherwin-Williams Co. (The)		216,842

				2,058,045

		Commercial Services & Supplies – 0.2%
	2,070	Cintas Corp.		353,101

		Communications Equipment – 0.7%
	27,228	Cisco Systems, Inc.		1,167,809

		Construction & Engineering – 0.2%
	5,235	Fluor Corp.		299,547

		Containers & Packaging – 0.1%
	2,992	Sealed Air Corp.		128,028

		Distributors – 0.1%
	4,895	LKQ Corp.(a)		185,765

		Diversified Financial Services – 1.1%
	8,840	Berkshire Hathaway, Inc., Class B(a)		1,763,403

		Diversified Telecommunication Services – 1.1%
	25,208	AT&T, Inc.		898,665
	16,837	Verizon Communications, Inc.		805,146

				1,703,811

		Electric Utilities – 0.9%
	2,699	American Electric Power Co., Inc.		185,124
	3,845	Duke Energy Corp.		297,872
	2,354	NextEra Energy, Inc.		384,479
	3,487	PG&E Corp.(a)		153,184
	4,690	PPL Corp.		132,680
	4,944	Southern Co. (The)		220,799

				1,374,138

		Electrical Equipment – 0.3%
	6,375	Emerson Electric Co.		435,412

		Energy Equipment & Services – 0.5%
	5,494	Halliburton Co.		257,889
	7,590	Schlumberger Ltd.		491,680

				749,569

		Food & Staples Retailing – 1.1%
	6,715	CVS Health Corp.		417,740
	4,625	Sysco Corp.		277,315
	5,468	Walgreens Boots Alliance, Inc.		357,990


Shares		Description	Value (†)
	Common Stocks – continued
		Food & Staples Retailing – continued
	7,840	Walmart, Inc.	$	697,525

				1,750,570

		Food Products – 0.4%
	6,262	Archer-Daniels-Midland Co.		271,583
	9,040	Mondelez International, Inc., Class A		377,239

				648,822

		Health Care Equipment & Supplies – 1.0%
	2,279	Becton Dickinson and Co.		493,859
	5,214	Danaher Corp.		510,503
	8,230	Medtronic PLC		660,211

				1,664,573

		Health Care Providers & Services – 1.6%
	2,634	Aetna, Inc.		445,146
	3,102	Centene Corp.(a)		331,511
	2,332	McKesson Corp.		328,509
	3,044	Quest Diagnostics, Inc.		305,313
	5,080	UnitedHealth Group, Inc.		1,087,120

				2,497,599

		Hotels, Restaurants & Leisure – 1.3%
	581	Chipotle Mexican Grill, Inc.(a)		187,727
	2,193	Marriott International, Inc., Class A		298,204
	4,219	McDonald’s Corp.		659,767
	6,082	MGM Resorts International		212,992
	1,815	Royal Caribbean Cruises Ltd.		213,698
	7,955	Starbucks Corp.		460,515

				2,032,903

		Household Durables – 0.2%
	3,221	Lennar Corp., Class A		189,846
	7,988	Newell Brands, Inc.		203,534

				393,380

		Household Products – 0.6%
	12,444	Procter & Gamble Co. (The)		986,560

		Industrial Conglomerates – 1.0%
	3,812	3M Co.		836,810
	5,236	Honeywell International, Inc.		756,655

				1,593,465

		Insurance – 1.1%
	2,705	Aon PLC		379,593
	3,465	Assurant, Inc.		316,736
	3,769	Chubb Ltd.		515,486
	4,505	Lincoln National Corp.		329,135
	3,203	Torchmark Corp.		269,596

				1,810,546


Shares		Description	Value (†)
	Common Stocks – continued
		Internet & Direct Marketing Retail – 2.3%
	1,731	Amazon.com, Inc.(a)	$	2,505,345
	259	Booking Holdings, Inc.(a)		538,821
	2,125	Netflix, Inc.(a)		627,619

				3,671,785

		Internet Software & Services – 3.3%
	1,500	Alphabet, Inc., Class A(a)		1,555,710
	1,516	Alphabet, Inc., Class C(a)		1,564,193
	10,609	eBay, Inc.(a)		426,906
	11,487	Facebook, Inc., Class A(a)		1,835,508

				5,382,317

		IT Services – 2.3%
	4,495	Accenture PLC, Class A		689,983
	4,571	Automatic Data Processing, Inc.		518,717
	5,549	International Business Machines Corp.		851,383
	6,202	Paychex, Inc.		381,981
	9,969	Visa, Inc., Class A		1,192,492

				3,634,556

		Life Sciences Tools & Services – 0.4%
	4,873	Agilent Technologies, Inc.		326,004
	1,547	Waters Corp.(a)		307,311

				633,315

		Machinery – 1.5%
	4,491	Caterpillar, Inc.		661,884
	2,494	Cummins, Inc.		404,252
	3,263	Deere & Co.		506,809
	4,946	Fortive Corp.		383,414
	3,208	Illinois Tool Works, Inc.		502,565

				2,458,924

		Media – 1.6%
	1,129	Charter Communications, Inc., Class A(a)		351,367
	23,237	Comcast Corp., Class A		794,008
	2,917	Omnicom Group, Inc.		211,979
	4,512	Time Warner, Inc.		426,745
	7,639	Walt Disney Co. (The)		767,261

				2,551,360

		Metals & Mining – 0.2%
	10,064	Newmont Mining Corp.		393,200

		Multi-Utilities – 0.7%
	3,336	CMS Energy Corp.		151,087
	7,422	Consolidated Edison, Inc.		578,471
	3,662	Dominion Energy, Inc.		246,929
	1,549	Sempra Energy		172,280

				1,148,767


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 2.7%
	5,344	Apache Corp.	$	205,637
	5,592	Cabot Oil & Gas Corp.		134,096
	8,855	Chevron Corp.		1,009,824
	1,339	Concho Resources, Inc.(a)		201,292
	3,622	EOG Resources, Inc.		381,288
	18,884	Exxon Mobil Corp.		1,408,935
	3,970	Hess Corp.		200,961
	13,825	Kinder Morgan, Inc.		208,205
	2,959	Phillips 66		283,827
	3,420	Valero Energy Corp.		317,274

				4,351,339

		Pharmaceuticals – 2.9%
	10,383	Bristol-Myers Squibb Co.		656,725
	12,850	Johnson & Johnson		1,646,728
	15,945	Merck & Co., Inc.		868,524
	31,333	Pfizer, Inc.		1,112,008
	5,279	Zoetis, Inc.		440,849

				4,724,834

		Professional Services – 0.2%
	3,242	Equifax, Inc.		381,940

		REITs - Apartments – 0.2%
	1,442	AvalonBay Communities, Inc.		237,151

		REITs - Diversified – 0.8%
	2,774	American Tower Corp.		403,173
	2,637	Crown Castle International Corp.		289,042
	575	Equinix, Inc.		240,431
	1,348	SBA Communications Corp.(a)		230,400
	2,034	Vornado Realty Trust		136,888

				1,299,934

		REITs - Regional Malls – 0.3%
	7,632	GGP, Inc.		156,151
	1,914	Simon Property Group, Inc.		295,426

				451,577

		REITs - Shopping Centers – 0.1%
	2,545	Regency Centers Corp.		150,104

		REITs - Storage – 0.2%
	1,563	Public Storage		313,210

		Road & Rail – 0.5%
	5,671	Union Pacific Corp.		762,352

		Semiconductors & Semiconductor Equipment – 2.0%
	5,040	Analog Devices, Inc.		459,295
	1,255	Broadcom Ltd.		295,741
	26,699	Intel Corp.		1,390,484


Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – continued
	1,181	Lam Research Corp.	$	239,932
	3,783	NVIDIA Corp.		876,105

				3,261,557

		Software – 3.1%
	3,530	Adobe Systems, Inc.(a)		762,762
	2,079	ANSYS, Inc.(a)		325,759
	34,775	Microsoft Corp.		3,173,914
	5,536	salesforce.com, inc.(a)		643,837

				4,906,272

		Specialty Retail – 1.0%
	304	AutoZone, Inc.(a)		197,202
	5,599	Home Depot, Inc. (The)		997,966
	5,101	Lowe’s Cos., Inc.		447,612

				1,642,780

		Technology Hardware, Storage & Peripherals – 2.4%
	22,668	Apple, Inc.		3,803,237

		Textiles, Apparel & Luxury Goods – 0.4%
	7,121	NIKE, Inc., Class B		473,119
	3,137	VF Corp.		232,515

				705,634

		Tobacco – 0.9%
	10,477	Altria Group, Inc.		652,927
	7,930	Philip Morris International, Inc.		788,242

				1,441,169

		Total Common Stocks (Identified Cost $80,306,533)		89,257,407

	Exchange-Traded Funds – 9.8%
	59,641	SPDR^® S&P 500^® ETF Trust (Identified Cost $15,136,323)		15,694,529


Principal Amount
	Short-Term Investments – 32.7%
		Certificates of Deposit – 24.5%
$	1,500,000	Landesbank Hessen (NY), 1.800%, 4/03/2018		1,500,019
	1,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 1.710%, 4/04/2018		1,000,001
	2,500,000	Cooperatieve Rabobank U.A. (NY), 1-month LIBOR + 0.100%, 1.791%, 4/06/2018(b)(c)		2,500,035
	2,000,000	DNB Nor Bank ASA (NY), 1.720%, 4/24/2018		2,000,008
	2,000,000	Norinchukin Bank (NY), 1.720%, 4/24/2018		1,999,782
	3,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 1.740%, 4/25/2018		2,999,663


Principal Amount		Description	Value (†)
	$2,000,000	Abbey National Treasury Services PLC, 1.770%, 4/25/2018	$	1,999,888
	2,000,000	Bank of Montreal (IL), 1-month LIBOR + 0.280%, 1.991%, 5/08/2018(b)(c)		2,000,608
	1,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.110%, 1.951%, 5/21/2018(b)(c)		1,000,111
	2,500,000	Sumitomo Mitsui Trust Bank (NY), 2.000%, 5/21/2018		2,500,022
	4,000,000	Mizuho Bank Ltd. (NY), 1.970%, 6/04/2018		3,999,179
	1,000,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.200%, 1.886%, 6/05/2018(b)(c)		999,841
	2,000,000	BNP Paribas (NY), 2.040%, 6/05/2018		2,000,136
	1,500,000	Bank of Nova Scotia (TX), 1-month LIBOR + 0.150%, 1.927%, 6/15/2018(b)(c)		1,500,043
	1,500,000	Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.200%, 1.977%, 6/15/2018(b)(c)		1,499,700
	1,000,000	Nordea Bank AB (NY), 1.840%, 7/10/2018(c)		998,847
	2,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.920%, 7/10/2018(b)(c)		1,999,726
	2,000,000	Swedbank (NY), 1-month LIBOR + 0.150%, 1.890%, 7/11/2018(b)(c)		1,999,522
	1,500,000	Sumitomo Mitsui Bank (NY), 1-month LIBOR + 0.210%, 2.018%, 7/19/2018(b)(c)		1,499,590
	2,500,000	Wells Fargo Bank NA, 1-month LIBOR + 0.210%, 1.880%, 9/06/2018(b)		2,497,517
	1,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 1.946%, 1/03/2019(b)(c)		998,884

				39,493,122

		Treasuries – 2.5%
	1,100,000	U.S. Treasury Bills, 1.305%-1.398%, 4/05/2018(d)(e)(f)		1,099,851
	2,000,000	U.S. Treasury Bills, 1.500%, 5/03/2018(d)(f)		1,997,200
	1,000,000	U.S. Treasury Bills, 1.647%, 6/07/2018(d)(f)		996,953

				4,094,004

		Other Notes – 2.5%
	3,000,000	Bank of America NA, 1.830%, 8/02/2018(g)		2,999,901
	1,000,000	Bank of America NA, 1.966%, 8/16/2018(g)		999,963

				3,999,864

		Time Deposits – 2.0%
	3,150,000	National Bank of Kuwait, 1.690%, 4/02/2018(g)		3,150,000

		Commercial Paper – 1.2%
	2,000,000	ING (U.S.) Funding LLC, 1-month LIBOR + 0.130%, 1.938%, 5/17/2018(b)(c)		2,000,274

		Total Short-Term Investments (Identified Cost $52,744,173)		52,737,264


Description	Value (†)
Total Investments – 98.0% (Identified Cost $148,187,029)	$	157,689,200
Other assets less liabilities – 2.0%		3,233,483

Net Assets – 100.0%	$	160,922,683

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or subadvisers and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

(a)	Non-income producing security.

(b)	Variable rate security. Rate as of March 31, 2018 is disclosed.

(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(e)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(g)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of March 31, 2018 is disclosed.


ETF		Exchange-Traded Fund
LIBOR		London Interbank Offered Rate
REITs		Real Estate Investment Trusts
SPDR		Standard & Poor’s Depositary Receipt

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

At March 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		6/15/2018	801$		108,875,038	$	105,852,150	$	(3,022,888	)

Fair Value Measurements

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	89,257,407	$	—	$	—	$	89,257,407
Exchange-Traded Funds		15,694,529		—		—		15,694,529
Short-Term Investments*		—		52,737,264		—		52,737,264

Total	$	104,951,936	$	52,737,264	$	—	$	157,689,200

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(3,022,888	)	$	—	$	—	$	(3,022,888	)

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended March 31, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions. The Fund uses long futures contracts on U.S. equity indices to increase exposure to the U.S. equity market to up to130% of the Fund’s total assets and short futures on U.S. equity indices to decrease exposure to the U.S. equity market to as low as 0% of the Fund’s total assets (to limit the effects of extreme market drawdowns). For the period ended March 31, 2018, the Fund used long contracts on U.S. equity market indices to increase exposure to the U.S. equity market.

The following is a summary of derivative instruments for the Fund, as of March 31, 2018:


Liability	Unrealized depreciation on futures contracts
Exchange-traded asset derivatives Equity contracts	$	(3,022,888	)


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Exchange-traded counterparty credit risk Margin with brokers	$	9,756,426	$	9,756,426

Industry Summary at March 31, 2018 (Unaudited)


Exchange-Traded Funds	9.8	%
Banks	3.9
Internet Software & Services	3.3
Software	3.1
Pharmaceuticals	2.9
Oil, Gas & Consumable Fuels	2.7
Technology Hardware, Storage & Peripherals	2.4
Internet & Direct Marketing Retail	2.3
IT Services	2.3
Capital Markets	2.0
Semiconductors & Semiconductor Equipment	2.0
Other Investments, less than 2% each	28.6
Short-Term Investments	32.7

Total Investments	98.0
Other assets less liabilities (including futures contracts)	2.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 67.6% of Net Assets
	Non-Convertible Bonds – 64.9%
		ABS Car Loan – 5.5%
$	1,577,928	Ally Auto Receivables Trust, Series 2016-3, Class A3, 1.440%, 8/17/2020(a)	$	1,569,914
	1,455,000	AmeriCredit Automobile Receivables Trust, Series 2015-4, Class D, 3.720%, 12/08/2021(a)		1,472,317
	295,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class D, 3.650%, 5/09/2022(a)		298,241
	2,415,000	BMW Vehicle Owner Trust, Series 2018-A, Class A2B, 1-month LIBOR + 0.070%, 1.942%, 11/25/2020(a)(b)		2,415,290
	1,360,000	CarMax Auto Owner Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.150%, 1.927%, 5/17/2021(a)(b)		1,359,204
	504,782	CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A(a)		501,908
	600,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(a)		608,846
	3,065,000	CPS Auto Receivables Trust, Series 2016-B, Class E, 8.140%, 5/15/2023, 144A		3,240,090
	815,000	CPS Auto Receivables Trust, Series 2017-D, Class D, 3.730%, 9/15/2023, 144A(a)		809,242
	230,000	CPS Auto Receivables Trust, Series 2018-A, Class C, 3.050%, 12/15/2023, 144A(a)		229,019
	2,175,000	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A(a)		2,178,400
	2,955,000	Drive Auto Receivables Trust, Series 2018-1, Class D, 3.810%, 5/15/2024(a)		2,960,124
	558,929	DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A(a)		562,668
	1,070,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A(a)		1,079,057
	4,075,000	DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(a)		4,133,595
	3,045,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A(a)		3,113,801
	270,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A(a)		269,926
	440,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A(a)		440,927
	345,000	First Investors Auto Owner Trust, Series 2015-1A, Class D, 3.590%, 1/18/2022, 144A(a)		344,275
	1,710,000	First Investors Auto Owner Trust, Series 2015-2A, Class D, 4.220%, 12/15/2021, 144A(a)		1,722,533
	220,000	First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A(a)		215,876
	605,000	Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A(a)		608,561
	650,000	Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(a)		653,218
	314,398	Ford Credit Auto Owner Trust, Series 2015-A, Class A3, 1.280%, 9/15/2019(a)		313,970
	390,685	Ford Credit Auto Owner Trust, Series 2015-B, Class A3, 1.160%, 11/15/2019(a)		389,673


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	1,302,959	Ford Credit Auto Owner Trust, Series 2015-C, Class A3, 1.410%, 2/15/2020(a)	$	1,298,078
	2,067,073	Ford Credit Auto Owner Trust, Series 2017-A, Class A2B, 1-month LIBOR + 0.120%, 1.897%, 12/15/2019(a)(b)		2,067,556
	1,362,000	Hertz Vehicle Financing II LP, Series 2017-2A, Class A, 3.290%, 10/25/2023, 144A(a)		1,349,797
	480,016	Honda Auto Receivables Owner Trust, Series 2015-3, Class A3, 1.270%, 4/18/2019(a)		479,357
	1,629,893	Honda Auto Receivables Owner Trust, Series 2016-2, Class A3, 1.390%, 4/15/2020(a)		1,620,351
	1,290,000	Honda Auto Receivables Owner Trust, Series 2017-1, Class A3, 1.720%, 7/21/2021(a)		1,275,547
	5,095,000	Honda Auto Receivables Owner Trust, Series 2018-1, Class A3, 2.640%, 2/15/2022(a)		5,092,895
	3,045,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A1, 1-month LIBOR + 0.850%, 2.627%, 4/18/2022, 144A(a)(b)		3,063,500
	815,000	NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1, 1-month LIBOR + 0.680%, 2.457%, 10/17/2022, 144A(a)(b)		817,652
	2,590,000	NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, 1-month LIBOR + 0.640%, 2.417%, 2/15/2023, 144A(a)(b)		2,590,107
	970,000	Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.180%, 1/15/2021(a)		958,194
	654,669	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A2B, 1-month LIBOR + 0.060%, 1.837%, 1/15/2020(a)(b)		654,696
	1,525,000	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740%, 8/16/2021(a)		1,505,141
	3,220,000	Nissan Auto Receivables Owner Trust, Series 2018-A, Class A3, 2.650%, 5/16/2022(a)		3,216,028
	3,045,000	Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(a)		3,093,176
	728,228	Toyota Auto Receivables Owner Trust, Series 2015-C, Class A3, 1.340%, 6/17/2019(a)		726,840
	766,436	Toyota Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.140%, 8/17/2020(a)		759,578
	460,441	Toyota Auto Receivables Owner Trust, Series 2016-D, Class A2B, 1-month LIBOR + 0.130%, 1.907%, 5/15/2019(a)(b)		460,491
	2,246,992	Toyota Auto Receivables Owner Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.060%, 1.837%, 1/15/2020(a)(b)		2,246,991
	1,093,972	USAA Auto Owner Trust, Series 2016-1, Class A3, 1.200%, 6/15/2020(a)		1,087,968
	1,061,544	Veros Automobile Receivables Trust, Series 2017-1, Class A, 2.840%, 4/17/2023, 144A(a)		1,057,512
	595,000	Westlake Automobile Receivables Trust, Series 2017-1A, Class D, 3.460%, 10/17/2022, 144A(a)		597,242
	740,000	Westlake Automobile Receivables Trust, Series 2018-1A, Class D, 3.410%, 5/15/2023, 144A(a)		738,722

				68,248,094

		ABS Credit Card – 5.1%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 1-month LIBOR + 0.420%, 2.197%, 2/16/2021(a)(b)		3,148,065


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Credit Card – continued
$	5,420,000	American Express Credit Account Master Trust, Series 2017-6, Class A, 2.040%, 5/15/2023(a)	$	5,321,468
	2,765,000	American Express Issuance Trust II, Series 2013-2, Class A, 1-month LIBOR + 0.430%, 2.207%, 8/15/2019(a)(b)		2,769,633
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 1-month LIBOR + 0.380%, 2.157%, 6/15/2021(a)(b)		2,054,699
	995,000	Bank of America Credit Card Trust, Series 2016-A1, Class A, 1-month LIBOR + 0.390%, 2.167%, 10/15/2021(a)(b)		997,991
	4,385,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022(a)		4,323,627
	5,875,000	Bank of America Credit Card Trust, Series 2018-A1, Class A1, 2.700%, 7/17/2023(a)		5,862,567
	3,600,000	Capital One Multi-Asset Execution Trust, Series 2015-A7, Class A7, 1.450%, 8/16/2021(a)		3,580,398
	2,585,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023(a)		2,550,318
	3,500,000	Chase Issuance Trust, Series 2015-A4, Class A4, 1.840%, 4/15/2022(a)		3,440,645
	3,120,000	Chase Issuance Trust, Series 2016-A2, Class A, 1.370%, 6/15/2021(a)		3,075,799
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 1-month LIBOR + 0.430%, 2.170%, 9/10/2020(a)(b)		5,834,321
	3,045,000	Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020(a)		3,044,723
	5,800,000	Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.750%, 11/19/2021(a)		5,714,564
	5,520,000	Citibank Credit Card Issuance Trust, Series 2017-A8, Class A8, 1.860%, 8/08/2022(a)		5,405,832
	6,025,000	Citibank Credit Card Issuance Trust, Series 2018-A1, Class A1, 2.490%, 1/20/2023(a)		5,973,634

				63,098,284

		ABS Home Equity – 11.3%
	559,904	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 3.527%, 3/25/2035(a)(c)		550,117
	1,156,964	Adjustable Rate Mortgage Trust, Series 2005-1, Class 3A1, 3.432%, 5/25/2035(a)(c)		1,169,840
	1,947,717	Ajax Mortgage Loan Trust, Series 2016-B, Class A, 4.000%, 9/25/2065, 144A(a)(c)		1,955,061
	1,255,506	Ajax Mortgage Loan Trust, Series 2016-C, Class A, 4.000%, 10/25/2057, 144A(a)(c)		1,259,373
	398,129	Ajax Mortgage Loan Trust, Series 2017-A, Class A, 3.470%, 4/25/2057, 144A(a)(c)		395,914
	1,564,613	Ajax Mortgage Loan Trust, Series 2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(c)		1,542,122
	467,855	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)		480,237
	516,480	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)		529,266
	357,051	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		357,277


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	956,220	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025	$	971,522
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)		321,023
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)		2,417,237
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)		1,352,670
	682,798	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		696,086
	1,282,240	Banc of America Funding Trust, Series 2004-B, Class 4A2, 3.456%, 11/20/2034(c)		1,268,661
	383,426	Banc of America Funding Trust, Series 2005-5, Class 1A1, 5.500%, 9/25/2035		401,162
	811,943	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		853,061
	633,722	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		646,695
	1,527,039	Banc of America Mortgage Trust, Series 2005-I, Class 4A1, 3.388%, 10/25/2035(c)		1,500,214
	710,977	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN7, Class A1, 3.105%, 9/28/2032, 144A(a)(c)		708,158
	1,717,674	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN8, Class A1, 3.352%, 11/28/2032, 144A(c)		1,712,313
	121,037	Bayview Opportunity Master Fund IIIb Trust, Series 2017-RN2, Class A1, 3.475%, 4/28/2032, 144A(c)		120,865
	141,858	Bayview Opportunity Master Fund IIIb Trust, Series 2017-RN3, Class A1, 3.228%, 5/28/2032, 144A(a)(c)		141,199
	1,595,589	Bayview Opportunity Master Fund IV Trust, Series 2018-RN2, Class A1, 3.598%, 2/25/2033, 144A(a)(c)		1,592,783
	2,512,363	Bayview Opportunity Master Fund IVa Trust, Series 2018-RN1, Class A1, 3.278%, 1/28/2033, 144A(a)(c)		2,498,834
	640,000	Bayview Opportunity Master Fund IVa Trust, Series 2018-RN3, Class A1, 3.672%, 3/28/2033, 144A(a)(c)(d)		640,000
	1,269,006	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL2, Class A1, 2.981%, 10/28/2032, 144A(a)(c)		1,263,174
	727,247	BCAP LLC Trust, Series 2007-AA2, Class 22A1, 6.000%, 3/25/2022		723,948
	1,370,291	CAM Mortgage Trust, Series 2016-1, Class M, 5.000%, 1/15/2056, 144A(c)		1,352,208
	554,335	CHL Mortgage Pass-Through Trust, Series 2004-12, Class 8A1, 3.740%, 8/25/2034(c)		544,665
	1,722,100	Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 3.512%, 8/25/2035(c)		1,719,725
	2,200,000	Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A		2,288,513
	1,065,000	Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(c)		1,059,595
	3,190,000	Colony American Homes, Series 2015-1A, Class D, 1-month LIBOR + 2.150%, 3.868%, 7/17/2032, 144A(a)(b)		3,189,991
	2,545,000	Colony American Homes, Series 2015-1A, Class F, 1-month LIBOR + 3.650%, 5.368%, 7/17/2032, 144A(b)		2,562,104


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	682,892	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)	$	700,137
	593,280	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		617,337
	1,119,514	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		1,158,548
	601,714	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(a)		610,466
	244	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.017%, 8/25/2034(a)(c)(d)(e)		240
	83,710	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.560%, 9/20/2034(a)(c)		81,427
	561,359	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 3.564%, 11/25/2033(a)(c)		565,455
	386,051	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 3.665%, 12/25/2033(a)(c)		387,995
	3,060,000	Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.030%, 8/25/2062, 144A(c)(d)(e)		3,059,917
	239,076	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)		246,446
	859,378	Deutsche Mortgage Securities, Inc., Series 2004-4, Class 7AR1, 1-month LIBOR + 0.350%, 2.222%, 6/25/2034(b)		834,053
	657,544	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 2.138%, 9/19/2045(b)		535,774
	1,766,157	Dukinfield 2 PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 1.874%, 12/20/2052, (GBP)(a)(b)		2,508,368
	640,461	Eurosail PLC, Series 2007-2X, Class A3C, GBP 3-month LIBOR + 0.150%, 0.754%, 3/13/2045, (GBP)(a)(b)		875,771
	1,586,072	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 1-month LIBOR + 2.200%, 4.072%, 2/25/2024(a)(b)		1,632,937
	969,573	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1-month LIBOR + 1.650%, 3.522%, 4/25/2024(a)(b)		983,718
	2,585,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 3.722%, 10/25/2027(a)(b)		2,638,614
	1,283,238	GCAT LLC, Series 2017-2, Class A1, 3.500%, 4/25/2047, 144A(a)(c)		1,274,622
	697,703	GCAT LLC, Series 2017-3, Class A1, 3.352%, 4/25/2047, 144A(a)(c)		693,592
	154,389	GCAT LLC, Series 2017-4, Class A1, 3.228%, 5/25/2022, 144A(c)		153,329
	464,264	GCAT LLC, Series 2017-5, Class A1, 3.228%, 7/25/2047, 144A(a)(c)		461,559
	349,228	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.968%, 7/19/2035(c)		334,800
	287,069	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 3.696%, 7/25/2035(c)		282,334
	2,545,882	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1-month LIBOR + 0.780%, 2.652%, 12/25/2034(b)		2,341,922


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	3,190,381	IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 4A, 3.796%, 10/25/2034(c)	$	3,254,271
	819,077	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 3.092%, 9/25/2034(b)		744,025
	1,449,663	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1-month LIBOR + 0.640%, 2.512%, 7/25/2045(b)		1,396,094
	3,414,770	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.210%, 2.082%, 2/25/2046(b)		2,899,898
	2,985,000	Invitation Homes Trust, Series 2015-SFR1, Class E, 1-month LIBOR + 4.200%, 5.950%, 3/17/2032, 144A(a)(b)		2,990,241
	1,765,000	Invitation Homes Trust, Series 2015-SFR3, Class E, 1-month LIBOR + 3.750%, 5.500%, 8/17/2032, 144A(b)		1,770,451
	445,000	Invitation Homes Trust, Series 2018-SFR1, Class E, 1-month LIBOR + 2.000%, 3.808%, 3/17/2037, 144A(b)		450,703
	469,446	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 3.144%, 11/25/2033(a)(c)		474,142
	1,657,562	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		1,673,736
	1,238,386	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 3.609%, 4/25/2035(a)(c)		1,231,620
	301,897	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 3.679%, 6/25/2035(a)(c)		305,475
	1,026,010	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 3.643%, 2/25/2036(c)		950,142
	526,584	Lehman XS Trust, Series 2005-7N, Class 3A1, 1-month LIBOR + 0.280%, 2.152%, 12/25/2035(b)		449,875
	3	Lehman XS Trust, Series 2006-12N, Class A2A1, 1-month LIBOR + 0.150%, 2.022%, 8/25/2046(b)(d)(e)		3
	650,133	Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.260%, 2.132%, 2/25/2046(b)		572,379
	521,380	Ludgate Funding PLC, Series 2007-1, Class A2B, 3-month EURIBOR + 0.160%, 0.000%, 1/01/2061, (EUR)(a)(b)		617,691
	1,936,741	Ludgate Funding PLC, Series 2008-W1X, Class A1, GBP 3-month LIBOR + 0.600%, 1.119%, 1/01/2061, (GBP)(a)(b)		2,664,964
	360,755	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.873%, 5/25/2034(a)(c)		357,249
	1,309,393	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 3.355%, 7/25/2034(a)(c)		1,282,206
	291,706	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 3.755%, 4/25/2036(c)		290,267
	426,260	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)		440,346
	487,888	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)		499,542
	601,286	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)		622,306
	1,597,632	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		1,695,514
	169,956	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 3.351%, 5/25/2036(a)(c)		171,583
	638,108	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		610,952


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	1,188,990	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035	$	1,224,259
	754,823	Newgate Funding PLC, Series 2007-3X, Class A2B, 3-month EURIBOR + 0.600%, 0.273%, 12/15/2050, (EUR)(a)(b)		919,803
	245,450	NYMT Residential LLC, Series 2016-RP1A, Class A, 4.000%, 3/25/2021, 144A(a)(c)		245,205
	1,196,598	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, 3.000%, 6/25/2057, 144A(a)(c)		1,189,547
	2,511,365	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, 3.000%, 7/25/2057, 144A(a)(c)		2,490,695
	1,530,000	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A2, 4.875%, 7/25/2057, 144A(c)		1,523,424
	475,632	OWS Structured Asset Trust, Series 2016-NPL1, Class A1, 3.750%, 7/25/2056, 144A(a)(c)		477,313
	3,791,012	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A1, 3.470%, 9/25/2022, 144A(a)(c)		3,776,458
	1,165,000	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A2, 5.000%, 9/25/2022, 144A(c)		1,162,062
	1,379,302	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A1, 3.470%, 11/25/2022, 144A(a)(c)		1,377,195
	405,000	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A2, 5.000%, 11/25/2022, 144A(c)		403,593
	3,558,647	RCO Mortgage LLC, Series 2017-1, Class A1, 3.375%, 8/25/2022, 144A(a)(c)		3,544,426
	967,497	Residential Accredit Loans, Inc. Trust, Series 2006-QO4, Class 2A1, 1-month LIBOR + 0.190%, 2.062%, 4/25/2046(b)		912,795
	1,432,447	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035		1,274,360
	452,913	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		448,208
	1,979,973	Residential Funding Mortgage Securities, Series 2006-SA2, Class 3A1, 4.657%, 8/25/2036(c)		1,845,976
	424,972	RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, 3-month EURIBOR + 0.150%, 0.000%, 6/12/2044, (EUR)(a)(b)		510,473
	327,325	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP 3-month LIBOR + 0.150%, 0.752%, 6/12/2044, (GBP)(a)(b)		447,323
	1,819,000	Starwood Waypoint Homes, Series 2015-1A, Class E, 1-month LIBOR + 3.000%, 4.718%, 7/17/2032, 144A(b)		1,824,562
	666,030	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 3.359%, 6/25/2034(a)(c)		657,753
	3,620,291	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 2.182%, 7/25/2035(b)		2,891,729
	345,308	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035		350,138
	1,200,000	Towd Point Mortgage Funding PLC, Series 2016-GR1X, Class B, GBP 3-month LIBOR + 1.400%, 1.923%, 7/20/2046, (GBP)(a)(b)		1,696,906
	442,485	VOLT LIV LLC, Series 2017-NPL1, Class A1, 3.500%, 2/25/2047, 144A(a)(c)		441,479
	2,400,000	VOLT LIV LLC, Series 2017-NPL1, Class A2, 5.875%, 2/25/2047, 144A(c)		2,400,162
	893,911	VOLT LV LLC, Series 2017-NPL2, Class A1, 3.500%, 3/25/2047, 144A(a)(c)		892,225


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	2,063,515	VOLT LVI LLC, Series 2017-NPL3, Class A1, 3.500%, 3/25/2047, 144A(a)(c)	$	2,063,813
	2,840,000	VOLT LVI LLC, Series 2017-NPL3, Class A2, 5.875%, 3/25/2047, 144A(c)		2,840,578
	441,914	VOLT LVII LLC, Series 2017-NPL4, Class A1, 3.375%, 4/25/2047, 144A(a)(c)		440,988
	1,064,102	VOLT LXI LLC, Series 2017-NPL8, Class A1, 3.125%, 6/25/2047, 144A(a)(c)		1,058,609
	1,189,244	VOLT LXIII LLC, Series 2017-NP10, Class A1, 3.000%, 10/25/2047, 144A(a)(c)		1,178,079
	1,125,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(c)		1,125,014
	1,754,416	Wells Fargo Mortgage Backed Securities Trust, Series 2004-I, Class 2A1, 3.580%, 7/25/2034(a)(c)		1,781,351
	278,596	Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 3.554%, 8/25/2034(a)(c)		285,927
	153,972	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		155,220
	749,255	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036		756,051
	406,698	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 3.645%, 5/01/2035(a)(c)		417,186
	501,357	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, 3.737%, 6/25/2035(a)(c)		511,744

				139,723,278

		ABS Other – 4.0%
	857,256	AASET Trust, Series 2017-1A, Class A, 3.967%, 5/16/2042, 144A(a)		854,539
	3,531,412	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(a)(c)		3,507,562
	1,083,709	AIM Aviation Finance Ltd., Series 2015-1A, Class C1, 4.750%, 2/15/2040, 144A		1,061,241
	364,376	Apollo Aviation Securitization Equity Trust, Series 2018-1A, Class B, 5.437%, 1/16/2038, 144A(a)		360,769
	350,000	Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)		344,918
	1,149,583	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(c)		1,167,419
	1,311,823	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(c)		1,305,694
	250,000	CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a)		248,860
	966,882	CLUB Credit Trust, Series 2017-P1, Class A, 2.420%, 9/15/2023, 144A(a)		964,457
	911,986	Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A		894,846
	2,100,990	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g)		1,554,732
	836,489	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g)		332,504


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Other – continued
$	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)(g)(h)	$	—
	1,244,206	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(f)(i)		1,184,221
	279,678	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A(a)		279,768
	6,475,000	OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A(a)		6,500,106
	1,015,239	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(a)		1,017,437
	2,670,000	OneMain Financial Issuance Trust, Series 2015-2A, Class D, 5.640%, 7/18/2025, 144A(a)		2,711,297
	3,120,000	OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)		3,176,655
	3,100,000	OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A(a)		3,201,753
	2,685,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A(a)		2,723,272
	3,540,710	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(a)		3,643,009
	692,634	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(a)		690,366
	744,307	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(a)		743,247
	3,114,616	Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A(a)		3,106,936
	2,102,333	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(a)		2,090,567
	296,250	Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class B, 5.750%, 5/17/2032, 144A(c)		301,216
	1,710,000	Tidewater Sales Finance Master Trust, Series 2017-AA, Class A, 4.550%, 4/15/2021, 144A(f)(i)		1,710,603
	2,295,000	Verizon Owner Trust, Series 2018-1A, Class A1B, 1-month LIBOR + 0.260%, 2.010%, 9/20/2022, 144A(a)(b)		2,295,680
	1,271,592	Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A(a)(d)		1,274,771

				49,248,445

		ABS Student Loan – 0.7%
	1,287,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 4.260%, 6/15/2032(a)(b)(d)		1,286,742
	3,420,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 4.270%, 3/15/2033(a)(b)(d)		3,419,316
	1,350,000	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 2.527%, 10/15/2035, 144A(a)(b)		1,356,745
	165,994	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1-month LIBOR + 1.250%, 3.122%, 8/25/2032, 144A(a)(b)		167,882
	832,746	SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1-month LIBOR + 1.200%, 3.072%, 3/25/2033, 144A(a)(b)		841,955
	1,854,805	SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a)		1,823,023

				8,895,663


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Whole Business – 0.3%
$	3,091,638	Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a)	$	3,175,350
	957,600	Five Guys Funding LLC, Series 2017-1A, Class A2, 4.600%, 7/25/2047, 144A		973,260

				4,148,610

		Aerospace & Defense – 0.6%
	1,135,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025(a)		1,164,078
	1,605,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027(a)		1,695,843
	1,195,000	Embraer Overseas Ltd., 5.696%, 9/16/2023, 144A(a)		1,274,169
	2,550,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		2,836,059

				6,970,149

		Agency Commercial Mortgage-Backed Securities – 0.2%
	175,000	Federal National Mortgage Association, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 4.072%, 1/25/2030(b)		177,278
	53,306,007	Government National Mortgage Association, Series 2012-135, Class IO, 0.603%, 1/16/2053(a)(c)(j)		1,798,726

				1,976,004

		Airlines – 0.4%
	4,817,347	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		4,687,279

		Automotive – 3.1%
	5,875,000	American Honda Finance Corp., MTN, 3-month LIBOR + 0.280%, 2.165%, 11/19/2018(a)(b)		5,880,464
	6,045,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.380%, 2.084%, 4/06/2020, 144A(a)(b)		6,068,245
	5,785,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 2.535%, 9/13/2019, 144A(a)(b)		5,811,649
	5,980,000	Ford Motor Credit Co. LLC, 3-month LIBOR + 1.000%, 2.704%, 1/09/2020(a)(b)		6,026,812
	5,955,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.580%, 2.302%, 1/13/2020, 144A(a)(b)		5,978,956
	6,165,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.520%, 2.722%, 3/15/2021, 144A(a)(b)		6,172,254
	2,955,000	Toyota Motor Credit Corp., MTN, 3-month LIBOR + 0.440%, 2.174%, 10/18/2019(a)(b)		2,967,959

				38,906,339

		Banking – 3.3%
	44,895,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Private Banks + 2.500%, 23.708%, 1/12/2020, 144A, (ARS)(b)		2,188,152
	44,570,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Private Banks + 4.000%, 26.771%, 11/07/2022, 144A, (ARS)(b)		2,230,351


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	21,970,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)	$	1,033,298
	46,000,000	Banco Supervielle S.A., Argentina Deposit Rates Badlar Private Banks + 4.500%, 27.271%, 8/09/2020, 144A, (ARS)(b)		2,235,054
	5,895,000	Citibank NA, 3-month LIBOR + 0.350%, 2.189%, 2/12/2021(a)(b)		5,889,447
	6,240,000	JPMorgan Chase & Co., 3-month LIBOR + 0.680%, 2.686%, 6/01/2021(a)(b)		6,269,952
	5,895,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.250%, 2.070%, 2/13/2020(a)(b)		5,895,133
	5,800,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.590%, 2.861%, 9/23/2019(a)(b)		5,828,936
	6,000,000	Sumitomo Mitsui Banking Corp., Series 2FRN, 3-month LIBOR + 0.540%, 2.245%, 1/11/2019(a)(b)		6,012,528
	3,000,000	Toronto-Dominion Bank (The), MTN, 3-month LIBOR + 0.420%, 2.154%, 1/18/2019(a)(b)		3,005,206

				40,588,057

		Cable Satellite – 0.2%
	3,000,000	Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A		2,857,890

		Chemicals – 0.1%
	1,490,000	Mexichem SAB de CV, 4.000%, 10/04/2027, 144A(a)		1,415,500

		Collateralized Mortgage Obligations – 0.1%
	1,432,735	GMACM Mortgage Loan Trust, Series 2005-AR1, Class 3A, 3.961%, 3/18/2035(c)		1,441,983

		Construction Machinery – 1.0%
	3,050,000	Caterpillar Financial Services Corp., GMTN, 3-month LIBOR + 0.290%, 2.315%, 9/04/2020(a)(b)		3,056,030
	3,065,000	Caterpillar Financial Services Corp., MTN, 3-month LIBOR + 0.230%, 2.355%, 3/15/2021(a)(b)		3,064,301
	6,350,000	John Deere Capital Corp., MTN, 3-month LIBOR + 0.240%, 2.329%, 3/12/2021(a)(b)		6,351,835

				12,472,166

		Consumer Products – 0.1%
	1,320,000	Coty, Inc., 4.000%, 4/15/2023, 144A, (EUR)		1,628,920

		Diversified Manufacturing – 0.5%
	5,915,000	United Technologies Corp., 3-month LIBOR + 0.350%, 2.123%, 11/01/2019(a)(b)		5,926,239

		Electric – 0.9%
	9,400,000,000	Empresas Publicas de Medellin ESP, 8.375%, 11/08/2027, 144A, (COP)(a)		3,454,544


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Electric – continued
$	6,455,000		Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a)	$	7,649,175

					11,103,719

			Finance Companies – 0.5%
	775,000		CIT Group, Inc., 4.125%, 3/09/2021		778,875
	6,100,000		USAA Capital Corp., 3-month LIBOR + 0.230%, 2.003%, 2/01/2019, 144A(a)(b)		6,102,501

					6,881,376

			Food & Beverage – 2.3%
	4,595,000		BRF GmbH, 4.350%, 9/29/2026, 144A(a)		3,978,351
	420,000		BRF S.A., 3.950%, 5/22/2023, 144A		385,308
	10,800,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(a)		3,215,351
	3,065,000		Campbell Soup Co., 3-month LIBOR + 0.500%, 2.645%, 3/16/2020(a)(b)		3,065,000
	1,680,000		Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		1,786,831
	6,235,000		Grupo Bimbo SAB de CV, 4.700%, 11/10/2047, 144A(a)		6,011,849
	2,300,000		JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		2,144,750
	2,695,000		JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		2,715,213
	3,105,000		MARB BondCo PLC, 6.875%, 1/19/2025, 144A		2,841,075
	2,900,000		PepsiCo, Inc., 3-month LIBOR + 0.270%, 1.967%, 10/04/2019(a)(b)		2,908,207

					29,051,935

			Government Owned - No Guarantee – 2.5%
	18,670,000,000		Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(a)		6,773,890
	2,820,000		Petrobras Global Finance BV, 5.299%, 1/27/2025, 144A		2,784,750
	4,640,000		Petrobras Global Finance BV, 5.625%, 5/20/2043		4,048,400
	6,130,000		Petrobras Global Finance BV, 5.999%, 1/27/2028, 144A		6,068,700
	2,045,000		Petrobras Global Finance BV, 7.250%, 3/17/2044		2,085,900
	700,000	(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(a)		3,664,042
	3,525,000		YPF S.A., 6.950%, 7/21/2027, 144A		3,539,453


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Owned - No Guarantee – continued
$	1,930,000	YPF S.A., Argentina Deposit Rates Badlar Private Banks + 4.000%, 27.125%, 7/07/2020, 144A(b)	$	1,479,755

				30,444,890

		Healthcare – 1.5%
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.630%, 2.687%, 3/09/2020(a)(b)		6,087,743
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.720%, 2.777%, 3/09/2021(a)(b)		6,110,573
	3,785,000	CVS Health Corp., 4.100%, 3/25/2025(a)		3,811,684
	2,340,000	Polaris Intermediate Corp., PIK, 8.500%, 12/01/2022, 144A(k)		2,386,823

				18,396,823

		Independent Energy – 2.0%
	3,845,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		3,136,751
	5,240,000	California Resources Corp., 8.000%, 12/15/2022, 144A		4,113,400
	3,080,000	Gulfport Energy Corp., 6.375%, 5/15/2025		2,949,100
	3,018,000	Halcon Resources Corp., 6.750%, 2/15/2025		2,965,185
	1,265,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		1,056,275
	2,055,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,695,375
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)(e)(f)(l)		—
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)(e)(f)(l)		—
	2,430,000	Sanchez Energy Corp., 7.250%, 2/15/2023, 144A		2,442,150
	2,985,000	SRC Energy, Inc., 6.250%, 12/01/2025, 144A		2,992,463
	3,265,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		3,044,612

				24,395,311

		Integrated Energy – 0.5%
	950,000	Geopark Ltd., 6.500%, 9/21/2024, 144A		950,513
	5,795,000	Shell International Finance BV, 3-month LIBOR + 0.350%, 2.421%, 9/12/2019(a)(b)		5,818,933

				6,769,446

		Leisure – 0.1%
	1,570,000	Constellation Merger Sub, Inc., 8.500%, 9/15/2025, 144A		1,518,975


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – 0.5%
$	5,785,000	Metropolitan Life Global Funding I, 3-month LIBOR + 0.340%, 2.447%, 9/14/2018, 144A(a)(b)	$	5,789,628

		Local Authorities – 1.5%
	2,900,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		2,958,000
	2,280,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		2,335,153
	2,015,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		2,090,563
	216,360,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Private Banks + 3.830%, 26.832%, 5/31/2022, (ARS)(b)		11,122,664

				18,506,380

		Media Entertainment – 0.5%
	4,735,000	Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020		4,729,081
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(a)		1,136,387

				5,865,468

		Metals & Mining – 0.5%
	4,300,000	Gerdau Trade, Inc., 4.875%, 10/24/2027, 144A(a)		4,245,519
	1,900,000	Vale Overseas Ltd., 6.250%, 8/10/2026(a)		2,128,000

				6,373,519

		Midstream – 1.7%
	3,725,000	EnLink Midstream Partners LP, Series C, (fixed rate to 12/15/2022, variable rate thereafter), 6.000%(m)		3,473,563
	2,690,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		2,691,560
	2,275,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		2,166,938
	150,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		149,625
	3,725,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		3,738,969
	1,160,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		1,403,600
	800,000	Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027		939,650
	6,005,000	TransCanada Trust, (fixed rate to 3/15/2027, variable rate thereafter), 5.300%, 3/15/2077(a)		5,929,937

				20,493,842

		Natural Gas – 0.2%
	1,825,000	Infraestructura Energetica Nova, S.A.B. de C.V., 3.750%, 1/14/2028, 144A(a)		1,736,487


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Natural Gas – continued
$	1,135,000	Infraestructura Energetica Nova, S.A.B. de C.V., 4.875%, 1/14/2048, 144A(a)	$	1,058,388

				2,794,875

		Non-Agency Commercial Mortgage-Backed Securities – 3.0%
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.093%, 4/15/2044, 144A(a)(c)		4,661,248
	1,900,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 1-month LIBOR + 3.000%, 4.740%, 10/15/2034, 144A(a)(b)		1,903,957
	3,635,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		3,245,142
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.699%, 11/10/2046, 144A(a)(c)		2,630,522
	1,017,687	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.826%, 8/10/2045(c)		1,026,293
	305,255	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c)		306,091
	3,090,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 1-month LIBOR + 4.500%, 6.277%, 7/15/2036, 144A(b)		3,103,425
	1,570,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.484%, 6/15/2044, 144A(a)(c)		1,547,218
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.484%, 6/15/2044, 144A(c)		1,999,656
	5,985,103	Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 8.703%, 8/15/2019, 144A(b)		6,022,127
	2,280,000	SCG Trust, Series 2013-SRP1, Class B, 1-month LIBOR + 2.500%, 4.527%, 11/15/2026, 144A(a)(b)		2,261,403
	2,200,000	SCG Trust, Series 2013-SRP1, Class C, 1-month LIBOR + 3.250%, 5.277%, 11/15/2026, 144A(a)(b)		2,174,045
	3,165,000	SCG Trust, Series 2013-SRP1, Class D, 1-month LIBOR+3.344%, 5.370%, 11/15/2026, 144A(b)		3,106,122
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.652%, 2/15/2044, 144A(a)(c)		2,580,513
	655,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.826%, 6/15/2045, 144A(c)		530,205

				37,097,967

		Oil Field Services – 0.1%
	690,000	Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A		691,725

		Paper – 0.6%
	2,275,000	Celulosa Arauco y Constitucion S.A., 5.500%, 11/02/2047, 144A(a)		2,319,362
	2,660,000	Fibria Overseas Finance Ltd., 4.000%, 1/14/2025		2,566,900
	1,915,000	Suzano Austria GmbH, 5.750%, 7/14/2026, 144A		2,010,942

				6,897,204


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Pharmaceuticals – 0.1%
$	1,500,000		Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046	$	1,103,122

			Property & Casualty Insurance – 0.9%
	2,890,000		Ardonagh Midco 3 PLC, 8.375%, 7/15/2023, 144A, (GBP)		4,154,417
	600,000		Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A		619,260
	6,000,000		Berkshire Hathaway Finance Corp., 3-month LIBOR + 0.320%, 2.028%, 1/10/2020(a)(b)		6,012,430

					10,786,107

			Refining – 0.2%
	2,430,000		Parkland Fuel Corp., 6.000%, 4/01/2026, 144A		2,442,150

			Retailers – 0.2%
	2,915,000		Alimentation Couche-Tard, Inc., 3-month LIBOR + 0.500%, 2.589%, 12/13/2019, 144A(a)(b)		2,919,283

			Sovereigns – 0.1%
	29,460,000		Argentina Politica Monetaria, Argentina Central Bank 7-day Repo Reference Rate, 27.935%, 6/21/2020, (ARS)(b)		1,556,289

			Technology – 2.1%
	6,045,000		Apple, Inc., 3-month LIBOR + 0.070%, 1.881%, 5/11/2020(a)(b)		6,042,391
	6,955,000		Cisco Systems, Inc., 3-month LIBOR + 0.340%, 2.542%, 9/20/2019(a)(b)		6,982,514
	5,825,000		IBM Credit LLC, 3-month LIBOR + 0.160%, 1.949%, 2/05/2021(a)(b)		5,825,699
	6,000,000		International Business Machines Corp., 3-month LIBOR + 0.230%, 1.990%, 1/27/2020(a)(b)		6,011,994
	1,100,000		Veritas U.S., Inc./Veritas Bermuda Ltd., 10.500%, 2/01/2024, 144A		1,028,500

					25,891,098

			Treasuries – 5.9%
	1,115,000	(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(a)		5,568,867
	127,035,000		Republic of Poland Government Bond, 2.750%, 4/25/2028, (PLN)(a)		35,674,378
	380,700,000		Republic of South Africa Government Bond, 8.500%, 1/31/2037, (ZAR)(a)		31,281,923

					72,525,168

			Total Non-Convertible Bonds (Identified Cost $825,247,303)		802,529,200

	Convertible Bonds – 2.7%
			Building Materials – 0.1%
	1,090,000		Tutor Perini Corp., 2.875%, 6/15/2021		1,148,403


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Cable Satellite – 0.5%
$	3,150,000	DISH Network Corp., 2.375%, 3/15/2024	$	2,785,517
	2,920,000	DISH Network Corp., 3.375%, 8/15/2026		2,812,544

				5,598,061

		Consumer Cyclical Services – 0.2%
	2,995,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023		2,658,062

		Diversified Operations – 0.1%
	775,000	RWT Holdings, Inc., 5.625%, 11/15/2019		778,875

		Healthcare – 0.1%
	615,000	Evolent Health, Inc., 2.000%, 12/01/2021		617,424
	220,000	Insulet Corp., 1.375%, 11/15/2024, 144A		251,795

				869,219

		Leisure – 0.1%
	650,000	Rovi Corp., 0.500%, 3/01/2020		626,360

		Media Entertainment – 0.0%
	575,000	Liberty Media Corp., 2.250%, 9/30/2046		598,382

		Midstream – 0.2%
	1,280,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		1,102,208
	385,000	SM Energy Co., 1.500%, 7/01/2021		363,440
	1,075,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		1,011,830

				2,477,478

		Oil Field Services – 0.1%
	350,000	Hercules Capital, Inc., 4.375%, 2/01/2022		354,132
	1,760,000	Nabors Industries, Inc., 0.750%, 1/15/2024, 144A		1,317,218

				1,671,350

		Pharmaceuticals – 0.6%
	1,835,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		1,722,606
	780,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		858,975
	710,000	Flexion Therapeutics, Inc., 3.375%, 5/01/2024, 144A		807,968


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Pharmaceuticals – continued
$	1,550,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022	$	1,421,443
	2,000,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		1,602,500
	515,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		508,787
	465,000	Supernus Pharmaceuticals, Inc., 0.625%, 4/01/2023, 144A		493,525

				7,415,804

		Railroads – 0.1%
	80,000	Echo Global Logistics, Inc., 2.500%, 5/01/2020		81,178
	1,385,000	Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024		1,582,365

				1,663,543

		REITs - Mortgage – 0.2%
	3,040,000	iStar, Inc., 3.125%, 9/15/2022, 144A		2,892,609

		Technology – 0.4%
	3,250,000	Finisar Corp., 0.500%, 12/15/2036		2,919,829
	1,500,000	Verint Systems, Inc., 1.500%, 6/01/2021		1,460,265

				4,380,094

		Total Convertible Bonds (Identified Cost $34,709,064)		32,778,240

		Total Bonds and Notes (Identified Cost $859,956,367)		835,307,440

	Senior Loans – 11.5%
		Aerospace & Defense – 0.4%
	1,103,763	Engility Corp., Term Loan B2, 8/12/2023(n)		1,102,979
	2,368,244	TransDigm, Inc., 2017 Extended Term Loan F, LIBOR + 2.750%, 4.773%, 6/09/2023(o)		2,374,164
	331,343	TransDigm, Inc., 2017 Term Loan E, 1-month LIBOR + 2.750%, 4.627%, 5/14/2022(b)		332,112
	664,983	TransDigm, Inc., 2018 Term Loan G, LIBOR + 2.500%, 4.707%, 8/22/2024(o)		666,832

				4,476,087

		Automotive – 0.3%
	728,175	Belron Finance U.S. LLC, USD Term Loan B, 3-month LIBOR + 2.500%, 4.293%, 11/07/2024(b)		731,510
	2,763,173	Truck Hero, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 6.222%, 4/21/2024(b)		2,775,607

				3,507,117


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Building Materials – 0.5%
$	394,013	Atkore International, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 2.750%, 5.060%, 12/22/2023(b)	$	396,278
	1,580,060	HD Supply, Inc., Term Loan B4, 3-month LIBOR + 2.500%, 4.802%, 10/17/2023(b)		1,589,145
	520,000	NCI Building Systems, Inc., 2018 Term Loan, 1-month LIBOR + 2.000%, 3.877%, 2/07/2025(b)		519,839
	713,795	Ply Gem Industries, Inc., Term Loan, 3-month LIBOR + 3.000%, 5.302%, 2/01/2021(b)		713,795
	3,546,438	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.627%, 11/15/2023(b)		3,560,128

				6,779,185

		Cable Satellite – 1.4%
	1,866,000	Altice U.S. Finance I Corp., 2017 Term Loan, 1-month LIBOR + 2.250%, 4.127%, 7/28/2025(b)		1,861,802
	2,866,245	CSC Holdings LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 2.250%, 4.036%, 7/17/2025(b)		2,856,099
	1,650,000	Telenet Financing USD LLC, USD Term Loan AL, 3/01/2026(n)		1,657,557
	4,350,409	Unitymedia Finance LLC, Term Loan B, 1-month LIBOR + 2.250%, 4.027%, 9/30/2025(b)		4,339,533
	2,575,000	Virgin Media Bristol LLC, 2017 USD Term Loan, 1-month LIBOR + 2.500%, 4.277%, 1/15/2026(b)		2,587,617
	3,999,734	Ziggo Secured Finance Partnership, USD Term Loan E, 1-month LIBOR + 2.500%, 4.277%, 4/15/2025(b)		3,969,336

				17,271,944

		Chemicals – 0.2%
	749,004	Axalta Coating Systems US Holdings, Inc., USD Term Loan, 3-month LIBOR + 2.000%, 4.302%, 6/01/2024(b)		750,038
	710,003	WR Grace & Co., Term Loan B1, 4/03/2025(n)		712,076
	1,217,148	WR Grace & Co., Term Loan B2, 4/03/2025(n)		1,220,702

				2,682,816

		Consumer Products – 0.9%
	2,165,000	Coty, Inc., 2018 USD Term Loan B, 3/26/2025(n)		2,162,294
	3,685,084	Serta Simmons Bedding LLC, 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.216%, 11/08/2023(p)		3,325,788
	5,431,250	Weight Watchers International, Inc., 2017 Term Loan B, LIBOR + 4.750%, 6.446%, 11/29/2024(o)		5,490,668

				10,978,750

		Diversified Manufacturing – 0.1%
	1,095,309	Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.552%, 7/19/2024(b)		1,094,400

		Electric – 0.7%
	4,191,294	AES Corp., 2017 Term Loan B, 3-month LIBOR + 2.000%, 3.944%, 5/24/2022(b)		4,192,048


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Electric – continued
$	4,191,294	AES Corp., 2018 Term Loan B, 5/24/2022(n)	$	4,192,048

				8,384,096

		Environmental – 0.1%
	743,675	GFL Environmental, Inc., USD Term Loan B, 3-month LIBOR + 2.750%, 5.052%, 9/29/2023(b)		746,151
	208,950	USS Ultimate Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.627%, 8/25/2024(b)		209,995

				956,146

		Food & Beverage – 0.8%
	1,930,163	Aramark Services, Inc., 2017 Term Loan B1, 1-month LIBOR + 2.000%, 3.877%, 3/11/2025(b)		1,942,226
	2,927,607	JBS USA LLC, 2017 Term Loan B, 3-month LIBOR + 2.500%, 4.678%, 10/30/2022(b)		2,917,243
	1,541,118	Post Holdings, Inc., 2017 Series A Incremental Term Loan, 5/24/2024(n)		1,543,430
	1,434,163	Post Holdings, Inc., 2017 Series A Incremental Term Loan, 1-month LIBOR + 2.000%, 3.880%, 5/24/2024(b)		1,436,314
	1,400,000	UTZ Quality Foods LLC, 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.354%, 11/21/2024(b)		1,413,132

				9,252,345

		Health Insurance – 0.2%
	2,785,376	Sedgwick Claims Management Services, Inc., 2017 1st Lien Term Loan, 2/26/2021(n)		2,784,679

		Healthcare – 0.4%
	510,964	Envision Healthcare Corp., 2016 Term Loan B, 1-month LIBOR + 3.000%, 4.880%, 12/01/2023(b)		512,497
	1,134,300	Quintiles IMS, Inc., 2017 Term Loan B2, 3-month LIBOR + 2.000%, 4.302%, 1/17/2025(b)		1,139,404
	3,458,947	Surgery Center Holdings, Inc., 2017 Term Loan B, 1-month LIBOR + 3.250%, 5.130%, 9/02/2024(b)		3,455,488

				5,107,389

		Independent Energy – 0.1%
	811,000	California Resources Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.572%, 12/31/2022(b)		821,900

		Industrial Other – 0.0%
	570,000	ON Assignment, Inc., 2018 Term Loan B, 2/21/2025(n)		571,784

		Internet & Data – 0.1%
	1,348,225	NeuStar, Inc., 2018 Term Loan B4, 1-month LIBOR + 3.500%, 5.377%, 8/08/2024(b)		1,352,162

		Leisure – 0.0%
	306,900	AMC Entertainment, Inc., New Term Loan B, 1-month LIBOR + 2.250%, 4.027%, 12/15/2023(b)		307,538


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Lodging – 0.1%
$	855,000	Wyndham Hotels & Resorts, Inc., Term Loan B, 3/28/2025(n)	$	857,137

		Media Entertainment – 0.4%
	1,493,699	Camelot UK Holdco Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.250%, 5.127%, 10/03/2023(b)		1,502,228
	1,008,886	CBS Radio, Inc., 2017 Term Loan B, 3-month LIBOR + 2.750%, 4.623%, 11/17/2024(b)		1,012,882
	619,286	Donnelley Financial Solutions, Inc., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.877%, 10/02/2023(b)		621,224
	540,000	Lamar Media Corp., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.563%, 2/16/2025(b)		540,675
	985,000	Meredith Corp., Term Loan B, 1-month LIBOR + 3.000%, 4.877%, 1/31/2025(b)		990,417

				4,667,426

		Metals & Mining – 0.1%
	1,773,000	GrafTech Finance, Inc., 2018 Term Loan B, 1-month LIBOR + 3.500%, 5.240%, 2/12/2025(b)		1,773,000

		Midstream – 0.1%
	1,692,213	BCP Raptor LLC, Term Loan B, 2-month LIBOR + 4.250%, 6.039%, 6/24/2024(b)		1,700,673

		Packaging – 0.5%
	3,012,238	BWAY Holding Co., 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.958%, 4/03/2024(b)		3,025,672
	225,000	Crown Holdings, Inc., 2018 Term Loan B, 1/29/2025(n)		226,933
	3,084,500	Klockner-Pentaplast of America, Inc., USD 2017 Term Loan B2, 1-month LIBOR + 4.250%, 6.127%, 6/30/2022(b)		2,963,063
	502,475	Plastipak Packaging, Inc., Term Loan B, 1-month LIBOR + 2.750%, 4.630%, 10/14/2024(b)		504,736


				6,720,404

		Pharmaceuticals – 0.4%
	3,035,000	Amneal Pharmaceuticals LLC, 2018 Term Loan B, 3/07/2025(n)		3,035,000
	1,938,195	Change Healthcare Holdings, Inc., 2017 Term Loan B, 1-month LIBOR + 2.750%, 4.627%, 3/01/2024(b)		1,942,324

				4,977,324

		Property & Casualty Insurance – 0.4%
	1,461,993	Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.500%, 5.438%, 12/20/2024(b)		1,475,151
	3,250,730	USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 5.302%, 5/16/2024(b)		3,256,158


				4,731,309

		Restaurants – 0.4%
	3,618,374	1011778 B.C. Unlimited Liability Co., Term Loan B3, LIBOR + 2.250%, 4.294%, 2/16/2024(o)		3,619,134


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Restaurants – continued
$	1,000,000	IRB Holding Corp., 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.936%, 2/05/2025(b)	$	1,010,310

				4,629,444

		Retailers – 0.2%
	1,047,375	Hanesbrands, Inc., 2017 Term Loan B, 1-month LIBOR + 1.750%, 3.627%, 12/15/2024(b)		1,051,303
	1,329,946	Harbor Freight Tools USA, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.377%, 8/18/2023(b)		1,331,156

				2,382,459

		Technology – 1.3%
	1,855,675	Almonde, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.484%, 6/13/2024(b)		1,853,133
	746,551	Cavium, Inc., 2017 Term Loan B, 1-month LIBOR + 2.250%, 4.127%, 8/16/2022(b)		746,551
	3,016,813	Dell, Inc., 2017 Term Loan A2, 1-month LIBOR + 1.750%, 3.630%, 9/07/2021(b)		3,014,942
	471,405	First Data Corp., 2022 USD Term Loan, 1-month LIBOR + 2.250%, 4.122%, 7/08/2022(b)		472,041
	1,525,000	Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.622%, 1/02/2026(b)		1,519,922
	100,101	MA FinanceCo. LLC, USD Term Loan B3, 1-month LIBOR + 2.750%, 4.627%, 6/21/2024(b)		98,913
	3,438,897	McAfee LLC, 2017 USD Term Loan B, 1-month LIBOR + 4.500%, 6.377%, 9/30/2024(b)		3,471,842
	980,119	Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, 3-month LIBOR + 3.000%, 4.787%, 11/03/2023(b)		975,982
	676,009	Seattle Spinco, Inc., USD Term Loan B3, 1-month LIBOR + 2.750%, 4.627%, 6/21/2024(b)		667,985
	257,750	SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4, 2/28/2025(n)		258,905
	722,530	SS&C Technologies, Inc., 2018 Term Loan B3, 2/28/2025(n)		725,767
	2,406,404	Veritas Bermuda Ltd., USD Repriced Term Loan B, 3-month LIBOR + 4.500%, 6.802%, 1/27/2023(b)		2,395,239

				16,201,222

		Transportation Services – 0.5%
	1,735,000	Uber Technologies, 2018 Term Loan, 4/04/2025(n)		1,741,506
	4,225,327	Uber Technologies, Term Loan B, 1-month LIBOR + 4.000%, 5.877%, 7/13/2023(b)		4,236,652


				5,978,158

		Wireless – 0.7%
	624,100	GTT Communications, Inc., 2017 Add on Term Loan B, 1-month LIBOR + 3.250%, 5.188%, 1/09/2024(b)		624,256
	3,170,481	Radiate Holdco LLC, 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.877%, 2/01/2024(b)		3,150,666
	2,796,750	Sprint Communications, Inc., 1st Lien Term Loan B, 1-month LIBOR + 2.500%, 4.438%, 2/02/2024(b)		2,795,575


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wireless – continued
$	1,631,579	UPC Financing Partnership, USD Term Loan AR, 1-month LIBOR + 2.500%, 4.277%, 1/15/2026(b)	$	1,635,658

				8,206,155

		Wirelines – 0.2%
	1,152,751	Consolidated Communications, Inc., 2016 Term Loan B, 1-month LIBOR + 3.000%, 4.880%, 10/04/2023(b)		1,136,071
	1,304,804	Zayo Group LLC, 2017 Incremental Term Loan, 1-month LIBOR + 2.250%, 4.127%, 1/19/2024(b)		1,310,584

				2,446,655

		Total Senior Loans (Identified Cost $141,417,441)		141,599,704

	Loan Participations – 1.1%
		ABS Other – 1.1%
	5,980,952	Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037(d)(e)		5,963,177
	1,643,056	Rise Ltd., Term Loan A, 4.750%, 2/15/2039(a)(c)(d)(e)		1,634,840
	5,700,000	Working Capital Solutions Funding LLC, 1-month LIBOR + 6.950%, 7.711%, 8/30/2018, 144A(b)(d)(e)(f)(g)		5,700,000

		Total Loan Participations (Identified Cost $13,322,292)		13,298,017


Shares		Description	Value (†)
	Preferred Stocks – 0.7%
	Convertible Preferred Stocks – 0.4%
		Food & Beverage – 0.3%
	32,272	Bunge Ltd., 4.875%		3,497,456

		Midstream – 0.1%
	1,714	Chesapeake Energy Corp., 5.750%		970,038

		Total Convertible Preferred Stocks (Identified Cost $4,135,098)		4,467,494

	Non-Convertible Preferred Stock – 0.3%
		Cable Satellite – 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000)		4,191,500

		Total Preferred Stocks (Identified Cost $8,175,098)		8,658,994

	Common Stocks – 5.0%
		Aerospace & Defense – 0.2%
	1,896	Boeing Co. (The)		621,661
	720	Northrop Grumman Corp.		251,366
	1,587	Raytheon Co.		342,506


Shares		Description	Value (†)
	Common Stocks – continued
		Aerospace & Defense – continued
	5,338	United Technologies Corp.	$	671,627

				1,887,160

		Air Freight & Logistics – 0.0%
	1,899	FedEx Corp.		455,969

		Airlines – 0.0%
	4,550	Delta Air Lines, Inc.		249,386

		Auto Components – 0.0%
	2,209	Aptiv PLC		187,699

		Automobiles – 0.0%
	8,337	General Motors Co.		302,967

		Banks – 0.3%
	22,230	Bank of America Corp.		666,678
	12,367	BB&T Corp.		643,579
	13,356	JPMorgan Chase & Co.		1,468,759
	8,521	PacWest Bancorp		422,045
	3,647	PNC Financial Services Group, Inc. (The)		551,572
	7,686	Wells Fargo & Co.		402,823

				4,155,456

		Beverages – 0.1%
	6,384	PepsiCo, Inc.		696,814

		Chemicals – 0.1%
	2,590	Celanese Corp., Series A		259,544
	4,868	DowDuPont, Inc.		310,140
	10,298	Huntsman Corp.		301,216
	1,914	Monsanto Co.		223,345

				1,094,245

		Construction Materials – 0.2%
	352,508	Cemex SAB de CV, Sponsored ADR(h)		2,333,603

		Containers & Packaging – 0.0%
	2,646	WestRock Co.		169,794

		Diversified Telecommunication Services – 0.1%
	6,454	AT&T, Inc.		230,085
	79,843	CenturyLink, Inc.		1,311,821

				1,541,906

		Electric Utilities – 0.1%
	1,775	American Electric Power Co., Inc.		121,747
	15,775	Exelon Corp.		615,383
	4,657	NextEra Energy, Inc.		760,628

				1,497,758

		Energy Equipment & Services – 0.0%
	13,248	Patterson-UTI Energy, Inc.		231,973


Shares		Description	Value (†)
	Common Stocks – continued
		Food & Staples Retailing – 0.0%
	1,451	Costco Wholesale Corp.	$	273,412
	3,188	Walmart, Inc.		283,636

				557,048

		Food Products – 0.0%
	13,318	Mondelez International, Inc., Class A		555,760

		Health Care Equipment & Supplies – 0.1%
	8,768	Medtronic PLC		703,369

		Health Care Providers & Services – 0.1%
	5,655	UnitedHealth Group, Inc.		1,210,170

		Hotels, Restaurants & Leisure – 0.1%
	9,415	Hilton Worldwide Holdings, Inc.		741,525
	4,350	McDonald’s Corp.		680,253

				1,421,778

		Household Products – 0.1%
	9,896	Procter & Gamble Co. (The)		784,555

		Industrial Conglomerates – 0.1%
	4,634	Honeywell International, Inc.		669,659

		Insurance – 0.1%
	3,535	Chubb Ltd.		483,482
	4,962	FNF Group		198,579
	2,198	Prudential Financial, Inc.		227,603

				909,664

		IT Services – 0.1%
	7,509	Automatic Data Processing, Inc.		852,121
	2,917	Visa, Inc., Class A		348,932

				1,201,053

		Machinery – 0.1%
	2,399	Deere & Co.		372,613
	4,723	Fortive Corp.		366,127

				738,740

		Media – 0.4%
	110,740	Comcast Corp., Class A		3,783,986
	5,175	Walt Disney Co. (The)		519,777

				4,303,763

		Oil, Gas & Consumable Fuels – 1.8%
	18,671	Anadarko Petroleum Corp.		1,127,915
	16,575	Canadian Natural Resources Ltd.		521,615
	9,950	Canadian Natural Resources Ltd.		312,784
	2,398	Chevron Corp.		273,468
	1,884	Dommo Energia S.A., Sponsored ADR		72,741
	102,407	Encana Corp.		1,126,477
	1,986	EQT Corp.		94,355


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – continued
	6,184	Exxon Mobil Corp.	$	461,388
	186,324	Jagged Peak Energy, Inc.(h)		2,632,758
	141,569	Marathon Oil Corp.		2,283,508
	24,726	Parsley Energy, Inc., Class A(h)		716,807
	56,270	PDC Energy, Inc.(h)		2,758,918
	2,487	Valero Energy Corp.		230,719
	293,231	Whiting Petroleum Corp.(h)		9,922,937
	7,552	Williams Cos., Inc. (The)		187,743

				22,724,133

		Personal Products – 0.0%
	2,207	Estee Lauder Cos., Inc. (The), Class A		330,432

		Pharmaceuticals – 0.3%
	11,641	Allergan PLC		1,959,064
	8,875	Bristol-Myers Squibb Co.		561,344
	6,054	Eli Lilly & Co.		468,398
	6,323	Johnson & Johnson		810,292
	4,681	Zoetis, Inc.		390,910

				4,190,008

		Road & Rail – 0.0%
	5,926	CSX Corp.		330,137

		Semiconductors & Semiconductor Equipment – 0.2%
	36,311	Cypress Semiconductor Corp.		615,834
	12,363	QUALCOMM, Inc.		685,034
	13,659	Teradyne, Inc.		624,353

				1,925,221

		Software – 0.2%
	12,649	Microsoft Corp.		1,154,474
	23,135	Oracle Corp.		1,058,427

				2,212,901

		Specialty Retail – 0.0%
	602	Home Depot, Inc. (The)		107,300

		Technology Hardware, Storage & Peripherals – 0.1%
	8,282	Apple, Inc.		1,389,554

		Tobacco – 0.1%
	12,445	Altria Group, Inc.		775,572

		Total Common Stocks (Identified Cost $62,381,924)		61,845,547

	Exchange-Traded Funds – 0.7%
	30,500	PowerShares QQQ Trust		4,883,965
	128,943	Financial Select Sector SPDR^® Fund		3,554,958

		Total Exchange-Traded Funds (Identified Cost $7,798,873)		8,438,923


Shares		Description	Value (†)
	Other Investments – 0.7%
		Aircraft ABS – 0.7%
	58,545	Aergen LLC(d)(e)(f)(g)	$	312,045
	900	ECAF I Blocker Ltd.(d)(e)(f)(g)		8,912,709

		Total Other Investments (Identified Cost $14,854,500)		9,224,754

	Total Purchased Options – 0.2%
	(Identified Cost $2,572,871) (see detail below)			2,920,136


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 10.5%
$	59,039,388	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/29/2018 at 0.900% to be repurchased at $59,045,292 on 4/02/2018 collateralized by $60,625,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $60,222,815 including accrued interest(q)		59,039,388
	11,685,000	U.S. Treasury Bills, 1.416%, 05/31/2018(a)(r)		11,653,051
	5,400,000	U.S. Treasury Bills, 1.693%, 12/06/2018(r)(s)		5,330,810
	18,400,000	U.S. Treasury Bills, 1.895%, 01/03/2019(r)		18,128,094
	18,400,000	U.S. Treasury Bills, 1.960%, 01/31/2019(r)		18,091,212
	18,030,000	U.S. Treasury Bills, 2.005%, 02/28/2019(r)		17,700,357

		Total Short-Term Investments (Identified Cost $129,955,375)		129,942,912

		Total Investments – 98.0% (Identified Cost $1,240,434,741)		1,211,236,427
		Other assets less liabilities – 2.0%		24,670,944

		Net Assets – 100.0%	$	1,235,907,371


	Purchased Options – 0.1%


Description	Expiration Date	Exercise Price		Shares/Units of currency (†††)		Notional Amount		Cost		Value (†)
Options on Securities – 0.0%
Comcast Corp., Put(h)	05/18/2018		35		90,000	$	3,075,300	$	124,459	$	177,750
Home Depot, Inc. (The), Call(h)	05/18/2018		195		20,000		3,564,800		175,370		18,700
PowerShares QQQ Trust, Put(h)	05/18/2018		168		15,300		2,449,989		74,708		152,771

									374,537		349,221

Over-the-Counter Options on Currency – 0.1%
EUR Put(h)(t)	01/14/2019		1		9,928,000		12,529,128	$	346,401	$	418,614
PHP Put(h)(u)	05/18/2018		51		37,450,000		36,568,971		941,231		1,106,910

									1,287,632		1,525,524

Total								$	1,662,169	$	1,874,745

Written Options – (0.0%)


Description	Expiration Date		Exercise Price		Shares			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – (0.0%)
Allergan PLC, Call		04/20/2018		180		(11,500	)	$	(1,935,335	)	$	(14,686	)	$	(11,558	)
Apple, Inc., Call		04/20/2018		185		(7,700	)		(1,291,906	)		(34,909	)		(2,194	)
CenturyLink, Inc., Call		06/15/2018		19		(79,000	)		(1,297,970	)		(37,692	)		(20,145	)
Home Depot, Inc. (The), Call		05/18/2018		210		(10,000	)		(1,782,400	)		(31,770	)		(1,350	)

Total											$	(119,057	)	$	(35,247	)

(†)

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Senior loans are valued at bid prices supplied by an independent pricing service, if available.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.

Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source.

Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.

Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.

Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”).

Option contracts on foreign indices are priced at the most recent settlement price.

Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.

Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.

Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

As of March 31, 2018, securities held by the Fund were fair valued as follows:


Securities classified as fair valued	Percentage of Net Assets	Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$2,894,824	0.2%	$27,470,167	2.2%

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.

(††)	Amount shown represents units. One unit represents a principal amount of 100.

(†††)

Interest rate swaptions are expressed as notional amount. Options on securities are expressed as shares. Options on currency are expressed as units of currency.

(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(b)	Variable rate security. Rate as of March 31, 2018 is disclosed.

(c)

Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2018 is disclosed.

(d)	Level 3 security. Value has been determined using significant unobservable inputs.

(e)	Fair valued by the Fund’s adviser. At March 31, 2018, the value of these securities amounted to $27,470,167 or 2.2% of net assets.

(f)	Illiquid security.

(g)	Securities subject to restriction on resale. At March 31, 2018, the restricted securities held by the Fund are as follows:


	Acquisition Date	Cost		Value		% of Net Assets
Aergen LLC	March 6, 2017	$	5,854,500	$	312,045		Less than 0.1	%
ECAF I Blocker Ltd.	June 18, 2015		9,000,000		8,912,709		0.7	%
GCA2014 Holdings Ltd., Series 2014-1, Class C	December 18, 2014		2,100,990		1,554,732		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class D	December 18, 2014		836,489		332,504		Less than 0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class E	December 18, 2014		2,657,606		—		0.0	%
Working Capital Solutions Funding LLC	December 29, 2016		5,700,000		5,700,000		0.5	%

(h)	Non-income producing security.

(i)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2018, the value of these securities amounted to $2,894,824 or 0.2% of net assets.

(j)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

(k)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended March 31, 2018, interest payments were made in cash.

(l)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

(m)	Perpetual bond with no specified maturity date.

(n)	Position is unsettled. Contract rate was not determined at March 31, 2018 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(o)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2018. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

(p)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2018.

(q)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(r)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(s)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(t)	Counterparty is Deutsche Bank AG.

(u)	Counterparty is Bank of America, N.A.

(v)	Counterparty is Morgan Stanley Capital Services, Inc.


144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2018, the value of Rule 144A holdings amounted to $380,175,835 or 30.8% of net assets.
ABS		Asset-Backed Securities
ADR		An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ARS		Auction Rate Security
CDOR		Canadian Dollar Offered Rate
EMTN		Euro Medium Term Note
EURIBOR		Euro Interbank Offered Rate
GMTN		Global Medium Term Note
LIBOR		London Interbank Offered Rate
MTN		Medium Term Note


PIK		Payment-in-Kind
SLM		Sallie Mae
ARS		Argentine Peso
AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
CLP		Chilean Peso
CNY		Chinese Yuan Renminbi
COP		Colombian Peso
EUR		Euro
GBP		British Pound
HUF		Hungarian Forint
IDR		Indonesian Rupiah
ILS		Israeli Shekel
INR		Indian Rupee
JPY		Japanese Yen
KRW		South Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
PEN		Peruvian Sol
PHP		Philippine Peso
PLN		Polish Zloty
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thai Baht
TRY		Turkish Lira
TWD		New Taiwan Dollar
USD		U.S. Dollar
ZAR		South African Rand

Swap Agreements

The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

At March 31, 2018, the Fund had the following open bilateral credit default swap agreements:

Buy Protection


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate¹			Expiration Date		Notional Value(‡)	Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank N.A.	Enel SpA		(1.00	%)		12/20/2022	3,500,000	EUR$	(57,235	)	$	(79,768	)	$	(22,533	)
JPMorgan Chase Bank N.A.	Teva Pharmaceutical Finance Co. BV		(1.00	%)		12/20/2022	500,000		53,925			28,554			(25,371	)
JPMorgan Chase Bank N.A.	Teva Pharmaceutical Finance Co. BV		(1.00	%)		12/20/2022	750,000		78,307			42,832			(35,475	)
Morgan Stanley Capital Services, Inc.	CDX.EM Series 29 100, 5-Year		(1.00	%)		6/20/2023	16,385,000		338,391			294,258			(44,133	)
Morgan Stanley Capital Services, Inc.	ITRX Asia ex-Japan Index Series 29, 5-Year		(1.00	%)		6/20/2023	7,580,000		(83,121	)		(77,116	)		6,005
Morgan Stanley Capital Services, Inc.	ITRX Asia ex-Japan Index Series 29, 5-Year		(1.00	%)		6/20/2023	6,100,000		(62,498	)		(62,059	)		439
Morgan Stanley Capital Services, Inc.	Republic of Turkey		(1.00	%)		6/20/2023	12,275,000		516,263			539,350			23,087
Morgan Stanley Capital Services, Inc.	United Mexican States		(1.00	%)		6/20/2023	11,400,000		101,244			47,171			(54,073	)

Total											$	733,222		$	(152,054	)

At March 31, 2018, the Fund had the following open centrally cleared interest rate swap agreements:


Notional Value	Currency		Expiration Date		Fund Pays²			Fund Receives²			Market Value			Unrealized Appreciation (Depreciation)³
16,700,000		CAD		9/14/2027		2.351	%		3-month CDOR		$	148,301		$	147,965
39,700,000		CAD		9/15/2027		2.365	%		3-month CDOR			315,792			314,981
39,700,000		CAD		9/15/2027		2.360	%		3-month CDOR			329,027			328,220
39,700,000		CAD		9/18/2027		2.386	%		3-month CDOR			261,454			260,626
30,950,000		CAD		9/19/2027		2.363	%		3-month CDOR			252,400			251,763
41,000,000		CAD		9/14/2021		3-month CDOR			2.095	%		(224,708	)		(224,195	)
97,600,000		CAD		9/15/2021		3-month CDOR			2.115	%		(485,188	)		(483,931	)
97,600,000		CAD		9/15/2021		3-month CDOR			2.110	%		(497,861	)		(496,613	)
97,600,000		CAD		9/18/2021		3-month CDOR			2.120	%		(476,336	)		(475,068	)
76,460,000		CAD		9/19/2021		3-month CDOR			2.070	%		(472,808	)		(471,871	)
133,420,000		USD		1/5/2028		2.432	%		3-month LIBOR			3,960,942			3,960,942
673,470,000		USD		1/5/2020		3-month LIBOR			2.110	%		(5,059,221	)		(5,059,222	)

Total											$	(1,948,206	)	$	(1,946,403	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

¹	Payments are made quarterly.

²	Payments are made semiannually.

³	Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

Forward Foreign Currency Contracts

At March 31, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)			Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		4/03/2018		BRL	B		12,995,000	$	3,891,884	$	3,936,149	$	44,265
Bank of America, N.A.		4/03/2018		BRL	S		12,995,000		3,995,142		3,936,149		58,993
Bank of America, N.A.		5/03/2018		BRL	S		12,995,000		3,880,784		3,926,634		(45,850	)


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)			Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		4/23/2018		EUR	B		195,000	$	239,940	$	240,261	$	321
Bank of America, N.A.		4/23/2018		EUR	S		195,000		240,572		240,261		311
Bank of America, N.A.		4/27/2018		EUR	S		44,875,000		55,772,445		55,306,694		465,751
Bank of America, N.A.		4/12/2018		GBP	S		2,730,000		3,777,203		3,831,475		(54,272	)
Bank of America, N.A.		4/09/2018		IDR	B		6,574,770,000		476,605		477,319		714
Bank of America, N.A.		4/09/2018		IDR	S		6,574,770,000		475,571		477,319		(1,748	)
Bank of America, N.A.		4/09/2018		INR	B		38,965,000		595,158		597,031		1,873
Bank of America, N.A.		4/09/2018		INR	S		38,965,000		595,204		597,032		(1,828	)
Bank of America, N.A.		4/27/2018		MXN	S		92,400,000		4,993,164		5,063,884		(70,720	)
Bank of America, N.A.		5/21/2018		PHP	B		1,845,925,000		36,230,128		35,293,605		(936,523	)
Bank of America, N.A.		4/30/2018		PHP	S		57,145,000		1,091,178		1,093,736		(2,558	)
Bank of America, N.A.		4/16/2018		PLN	B		1,240,000		362,400		362,272		(128	)
Bank of America, N.A.		4/16/2018		PLN	S		1,240,000		363,781		362,273		1,508
Bank of America, N.A.		4/23/2018		THB	B		22,720,000		729,491		727,046		(2,445	)
BNP Paribas S.A.		4/23/2018		CAD	B		1,595,000		1,236,717		1,238,530		1,813
BNP Paribas S.A.		4/23/2018		CAD	S		1,595,000		1,219,187		1,238,530		(19,343	)
BNP Paribas S.A.		4/09/2018		JPY	B		37,805,000		358,400		355,427		(2,973	)
BNP Paribas S.A.		4/09/2018		JPY	S		37,805,000		355,566		355,428		138
BNP Paribas S.A.		4/16/2018		MXN	B		5,160,000		275,203		283,266		8,063
BNP Paribas S.A.		4/30/2018		MXN	B		11,250,000		608,056		616,261		8,205
BNP Paribas S.A.		4/16/2018		MXN	S		5,160,000		273,887		283,266		(9,379	)
BNP Paribas S.A.		4/16/2018		NOK	S		6,470,000		836,287		825,684		10,603
BNP Paribas S.A.		4/13/2018		SEK	S		3,965,000		482,045		475,162		6,883
BNP Paribas S.A.		4/20/2018		TRY	B		1,880,000		476,118		473,948		(2,170	)
BNP Paribas S.A.		4/20/2018		TRY	S		1,880,000		468,647		473,948		(5,301	)
Citibank N.A.		4/05/2018		EUR	B		780,000		952,074		959,817		7,743
Citibank N.A.		4/09/2018		EUR	B		490,000		604,816		603,130		(1,686	)
Citibank N.A.		4/09/2018		EUR	S		490,000		604,963		603,130		1,833
Citibank N.A.		4/16/2018		HUF	S		121,810,000		482,015		480,182		1,833
Credit Suisse International		4/27/2018		COP	S		18,400,000,000		6,444,044		6,583,338		(139,294	)
Deutsche Bank AG		4/16/2018		CLP	B		145,480,000		241,521		240,917		(604	)
Deutsche Bank AG		4/09/2018		CNY	B		9,855,000		1,550,992		1,565,998		15,006
Deutsche Bank AG		4/09/2018		CNY	S		7,685,000		1,222,947		1,221,176		1,771
Deutsche Bank AG		4/09/2018		CNY	S		2,170,000		342,352		344,821		(2,469	)
Deutsche Bank AG		4/16/2018		COP	B		684,110,000		240,799		244,798		3,999
Deutsche Bank AG		4/27/2018		EUR	S		2,000,000		2,486,070		2,464,922		21,148
Deutsche Bank AG		7/03/2018		EUR	S		1,320,000		1,635,740		1,635,183		557
Deutsche Bank AG		4/23/2018		GBP	S		5,095,000		7,146,247		7,154,044		(7,797	)
Deutsche Bank AG		4/13/2018		IDR	B		6,649,590,000		483,959		482,602		(1,357	)


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Deutsche Bank AG		4/30/2018	IDR	B		8,353,495,000	$	607,748	$	605,485	$	(2,263	)
Deutsche Bank AG		4/13/2018	IDR	S		6,649,590,000		481,854		482,601		(747	)
Deutsche Bank AG		4/05/2018	ILS	B		1,645,000		478,434		469,040		(9,394	)
Deutsche Bank AG		4/16/2018	ILS	B		1,330,000		387,067		379,480		(7,587	)
Deutsche Bank AG		4/05/2018	ILS	S		4,145,000		1,192,663		1,181,867		10,796
Deutsche Bank AG		4/16/2018	ILS	S		1,330,000		383,855		379,480		4,375
Deutsche Bank AG		4/30/2018	ILS	S		2,960,000		846,466		845,271		1,195
Deutsche Bank AG		4/16/2018	KRW	B		258,730,000		243,053		242,850		(203	)
Deutsche Bank AG		4/16/2018	KRW	S		258,730,000		241,759		242,850		(1,091	)
Deutsche Bank AG		4/23/2018	MXN	B		6,595,000		349,647		361,654		12,007
Deutsche Bank AG		4/20/2018	PLN	B		805,000		234,889		235,204		315
Deutsche Bank AG		4/30/2018	PLN	S		2,905,000		857,565		848,952		8,613
Goldman Sachs & Co.		4/23/2018	SGD	B		315,000		239,165		240,357		1,192
Goldman Sachs & Co.		4/09/2018	TWD	B		17,495,000		598,836		600,301		1,465
Goldman Sachs & Co.		4/09/2018	TWD	B		26,740,000		919,216		917,522		(1,694	)
Goldman Sachs & Co.		5/09/2018	TWD	B		44,235,000		1,523,769		1,520,834		(2,935	)
Goldman Sachs & Co.		4/09/2018	TWD	S		44,235,000		1,518,538		1,517,823		715
HSBC Bank USA		4/23/2018	NOK	B		3,745,000		484,787		478,028		(6,759	)
HSBC Bank USA		4/16/2018	ZAR	B		5,570,000		470,308		469,671		(637	)
Morgan Stanley & Co.		4/26/2018	AUD	S		475,000		366,172		364,823		1,349
Morgan Stanley & Co.		4/03/2018	BRL	B		40,300,000		12,080,336		12,206,758		126,422
Morgan Stanley & Co.		4/03/2018	BRL	S		40,300,000		12,391,612		12,206,758		184,854
Morgan Stanley & Co.		4/30/2018	BRL	S		1,220,000		366,641		368,729		(2,088	)
Morgan Stanley & Co.		5/03/2018	BRL	S		40,300,000		12,045,852		12,177,250		(131,398	)
Morgan Stanley & Co.		4/23/2018	CLP	B		295,280,000		487,865		489,008		1,143
Morgan Stanley & Co.		4/23/2018	CLP	S		295,280,000		484,861		489,008		(4,147	)
Morgan Stanley & Co.		4/04/2018	CNY	B		12,240,000		1,926,314		1,945,347		19,033
Morgan Stanley & Co.		4/13/2018	CNY	B		3,050,000		481,148		484,588		3,440
Morgan Stanley & Co.		5/04/2018	CNY	B		12,240,000		1,945,636		1,943,302		(2,334	)
Morgan Stanley & Co.		4/04/2018	CNY	S		12,240,000		1,946,410		1,945,347		1,063
Morgan Stanley & Co.		4/12/2018	EUR	S		10,050,000		12,407,629		12,372,935		34,694
Morgan Stanley & Co.		4/30/2018	GBP	B		425,000		604,553		596,934		(7,619	)
Morgan Stanley & Co.		4/20/2018	GBP	S		1,225,000		1,709,909		1,719,839		(9,930	)
Morgan Stanley & Co.		4/26/2018	JPY	B		51,140,000		485,959		481,240		(4,719	)


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Morgan Stanley & Co.		4/20/2018	KRW	S		886,470,000	$	830,806	$	832,169	$	(1,363	)
Morgan Stanley & Co.		4/09/2018	MXN	B		236,150,000		12,528,516		12,977,740		449,224
Morgan Stanley & Co.		4/23/2018	NZD	B		670,000		484,076		484,191		115
Morgan Stanley & Co.		4/23/2018	NZD	S		670,000		488,618		484,191		4,427
Morgan Stanley & Co.		4/27/2018	PEN	S		3,100,000		955,405		960,092		(4,687	)
Morgan Stanley & Co.		4/09/2018	PLN	S		120,345,000		35,715,982		35,155,996		559,986
Morgan Stanley & Co.		4/09/2018	THB	B		11,270,000		358,906		360,479		1,573
Morgan Stanley & Co.		4/09/2018	THB	S		11,270,000		360,283		360,479		(196	)
Morgan Stanley & Co.		4/03/2018	TWD	B		10,440,000		358,517		358,062		(455	)
Morgan Stanley & Co.		4/03/2018	TWD	S		10,440,000		356,254		358,062		(1,808	)
Morgan Stanley & Co.		4/30/2018	ZAR	S		361,810,000		30,866,025		30,448,436		417,589
UBS AG		4/09/2018	CAD	B		465,000		363,019		360,977		(2,042	)
UBS AG		4/09/2018	CAD	S		465,000		358,622		360,977		(2,355	)
UBS AG		4/16/2018	INR	B		76,130,000		1,171,141		1,165,459		(5,682	)
UBS AG		4/20/2018	INR	B		54,980,000		842,311		841,263		(1,048	)
UBS AG		4/27/2018	JPY	B		50,850,000		485,025		478,537		(6,488	)
UBS AG		4/23/2018	MYR	B		1,380,000		352,044		356,518		4,474
UBS AG		4/20/2018	TRY	S		1,430,000		359,222		360,503		(1,281	)

Total											$	981,995

At March 31, 2018, the Fund had the following open forward cross currency contracts:


Counterparty	Settlement Date		Deliver/Units of Currency			Receive/Units of Currency			Notional Value		Unrealized Appreciation (Depreciation)
Deutsche Bank AG		4/09/2018		EUR	10,515,000		MXN	246,674,540	$	13,556,121	$	613,437
UBS AG		4/05/2018		EUR	10,515,000		GBP	9,348,992		13,117,190		178,110

Total											$	791,547

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

At March 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/20/2018		168	$	20,307,208	$	20,351,625	$	44,417

At March 31, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500®		6/15/2018		171	$	22,783,210	$	22,597,650	$	185,560
Ultra Long U.S. Treasury Bond		6/20/2018		210		33,601,978		33,698,438		(96,460	)

Total									$	89,100

Fair Value Measurements

•

Level 1—quoted prices in active markets for identical assets or liabilities;

•

Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

•

Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	136,023,118	$	3,700,160	(a)	$	139,723,278
ABS Other		—		46,086,438		3,162,007	(b)(c)		49,248,445
ABS Student Loan		—		4,189,605		4,706,058	(d)		8,895,663
Independent Energy		—		24,395,311		—	(c)		24,395,311
All Other Non-Convertible Bonds*		—		580,266,503		—			580,266,503

Total Non-Convertible Bonds		—		790,960,975		11,568,225			802,529,200

Convertible Bonds*		—		32,778,240		—			32,778,240

Total Bonds and Notes		—		823,739,215		11,568,225			835,307,440

Senior Loans*		—		141,599,704		—			141,599,704
Loan Participations*		—		—		13,298,017	(e)		13,298,017
Preferred Stocks*		—		8,658,994		—			8,658,994
Common Stocks*		61,845,547		—		—			61,845,547
Exchange-Traded Funds		8,438,923		—		—			8,438,923
Other Investments*		—		—		9,224,754	(f)		9,224,754
Short-Term Investments		—		129,942,912		—			129,942,912
Purchased Options*		349,221		1,525,524		—			1,874,745
Purchased Swaptions*		—		1,045,391		—			1,045,391

Total Investments		70,633,691		1,106,511,740		34,090,996			1,211,236,427

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		29,531		—			29,531
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—		5,264,497		—			5,264,497
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,304,937		—			3,304,937
Futures Contracts (unrealized appreciation)		229,977		—		—			229,977

Total		70,863,668		1,115,110,705		34,090,996			1,220,065,369

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Options*	$	(35,247	)	$	—		$	—	$	(35,247	)
Written Swaptions*		—			(233,685	)		—		(233,685	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(181,585	)		—		(181,585	)
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)		—			(7,210,900	)		—		(7,210,900	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(1,531,395	)		—		(1,531,395	)
Futures Contracts (unrealized depreciation)		(96,460	)		—			—		(96,460	)

Total	$	(131,707	)	$	(9,157,565	)	$	—	$	(9,289,272	)

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(a)	Valued using broker-dealer bid prices ($640,000) or fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($3,059,917) or fair valued by the Fund’s adviser ($243).

(b)	Valued using broker-dealer bid prices ($1,274,771) or fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($1,554,732) or fair valued by the Fund’s adviser ($332,504).

(c)	Includes a security fair valued at zero using level 3 inputs.

(d)	Valued using broker-dealer bid prices.

(e)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($7,598,017) or fair valued by the Fund’s adviser ($5,700,000).

(f)	Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($8,912,709) or fair valued by the Fund’s adviser ($312,045).

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2017 and/or March 31, 2018:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2017			Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2018			Change in Unrealized Appreciation (Depreciation) from Investments Held at Still March 31, 2018
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	1,615,466		$	—	$	3,989	$	6		$	3,699,916	$	(4,222	)	$	—	$	(1,614,995	)	$	3,700,160		$	(1	)
ABS Other		2,992,445			—		—		147,926			46,692		(25,056	)		—		—			3,162,007			147,926
ABS Student Loan		4,900,039			—		244		775			—		(195,000	)		—		—			4,706,058			941
Independent Energy		—	(a)		97,659		—		(97,659	)		—		—			—		—			—	(a)		(97,659	)
Non-Agency Commercial Mortgage-Backed Securities		542,412			—		—		—			—		—			—		(542,412	)		—			—
Loan Participations		13,637,785			98		320		(4,338	)		—		(335,848	)		—		—			13,298,017			(4,785	)
Other Investments
Aircraft ABS		14,411,624			—		—		(5,186,870	)		—		—			—		—			9,224,754			(5,186,870	)

Total	$	38,099,771		$	97,757	$	4,553	$	(5,140,160	)	$	3,746,608	$	(560,126	)	$	—	$	(2,157,407	)	$	34,090,996		$	(5,140,448	)

(a)	Fair valued at zero.

Debt securities valued at $2,157,407 were transferred from Level 3 to Level 2 during the period ended March 31, 2018. At December 31, 2017 these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At March 31, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the period ended March 31, 2018, the Fund used futures, forward foreign currency, option contracts, swaptions, interest rate swap agreements and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts, interest rate swap agreements and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the the period ended March 31, 2018, the Fund engaged in swaptions for hedging purposes.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended March 31, 2018, the Fund engaged in forward foreign currency and option contracts for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended March 31, 2018, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2018, the Fund engaged in futures and option contracts for hedging purposes.

The following is a summary of derivative instruments for the Fund, as of March 31, 2018:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Swap agreements at value			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,525,524		$	3,304,937		$	—		$	—		$	4,830,461
Credit contracts		—			—			—			952,165			952,165
Interest rate contracts		1,045,391			—			—			—			1,045,391

Total over-the-counter asset derivatives	$	2,570,915		$	3,304,937		$	—		$	952,165		$	6,828,017

Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—		$	—		$	44,417		$	5,267,916		$	5,312,333
Equity contracts		349,221			—			185,560			—			534,781

Total exchange-traded/cleared asset derivatives	$	349,221		$	—		$	229,977		$	5,267,916		$	5,847,114

Total asset derivatives	$	2,920,136		$	3,304,937		$	229,977		$	6,220,081		$	12,675,131


Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Swap agreements at value			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	—		$	(1,531,395	)	$	—		$	—		$	(1,531,395	)
Credit contracts		—			—			—			(218,943	)		(218,943	)
Interest rate contracts		(233,685	)		—			—			—			(233,685	)

Total over-the-counter liability derivatives	$	(233,685	)	$	(1,531,395	)	$	—		$	(218,943	)	$	(1,984,023	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(96,460	)	$	(7,216,122	)	$	(7,312,582	)
Equity contracts		(35,247	)		—			—			—			(35,247	)

Total exchange-traded/cleared liability derivatives	$	(35,247	)	$	—		$	(96,460	)	$	(7,216,122	)	$	(7,347,829	)

Total liability derivatives	$	(268,932	)	$	(1,531,395	)	$	(96,460	)	$	(7,435,065	)	$	(9,331,852	)

¹	Represents purchased options/swaptions, at value.

OTC derivatives, including forward foreign currency contracts, options, swaptions and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of March 31, 2018, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty:	Derivatives			Collateral Pledged
BNP Paribas S.A.	$	(3,461	)	$	—
Credit Suisse International		(139,294	)		150,000
Goldman Sachs & Co.		(1,257	)		—
HSBC Bank USA		(7,396	)		—
JPMorgan Chase Bank, N.A.		(8,382	)		20,000

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2018:


Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
$	29,355,767	$	25,093,140

Net Loss amount reflects cash and securities received as collateral of $2,290,718.

Industry Summary at March 31, 2018 (Unaudited)


ABS Home Equity	11.3	%
Treasuries	5.9
ABS Car Loan	5.5
ABS Credit Card	5.1
ABS Other	5.1
Technology	3.8
Automotive	3.4
Food & Beverage	3.4
Banking	3.3
Non-Agency Commercial Mortgage-Backed Securities	3.0
Government Owned—No Guarantee	2.5
Cable Satellite	2.4
Midstream	2.1
Independent Energy	2.1
Healthcare	2.0
Other Investments, less than 2% each	26.6
Short-Term Investments	10.5

Total Investments	98.0
Other assets less liabilities (including open written options/swaptions, swap agreements, forward foreign currency and futures contracts)	2.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 93.5% of Net Assets
	Municipals – 93.5%
		Alabama – 1.4%
	$500,000	UAB Medicine Finance Authority Revenue, UAB Medicine Obligated Group, Series B-2, 3.500%, 9/01/2035	$	485,985

		California – 16.1%
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		434,317
	1,000,000	California Municipal Finance Authority Revenue, University of La Verne, Series A, 3.750%, 6/01/2037		1,024,940
	485,000	California School Finance Authority Revenue, Aspire Public Schools Obligated Group, Refunding, 5.000%, 8/01/2027		538,922
	250,000	California Statewide Communities Development Authority Revenue, Beverly Community Hospital Association, 4.000%, 11/01/2032		253,228
	700,000	Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035		788,998
	640,000	Madera Unified School District, Capital Appreciation, 2016 Election, GO, 4.500%, 8/01/2029		437,325
	1,000,000	Norman Y. Mineta San Jose International Airport Revenue, Refunding, Series A, AMT, (BAM Insured), 4.000%, 3/01/2042		1,023,330
	760,000	San Gorgonio Memorial Health Care District, GO, Refunding, 5.000%, 8/01/2024		876,789

				5,377,849

		Colorado – 6.2%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		293,857
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		435,632
	400,000	Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026		452,000
	250,000	Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030		289,908
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		609,310

				2,080,707

		Florida – 12.2%
	245,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027		242,614
	100,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028		98,501
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		555,925


Principal Amount		Description	Value (†)
	Municipals – continued
	Florida – continued
	$400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023	$	446,168
	1,000,000	Osceola County Sales Tax Revenue, Refunding, Series A, 5.000%, 10/01/2033		1,132,620
	600,000	Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022		675,354
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		459,900
	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025		457,744

				4,068,826

		Georgia – 0.9%
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		285,845

		Illinois – 3.7%
	540,000	Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031		593,881
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		532,065
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		108,620

				1,234,566

		Kansas – 2.3%
	720,000	Sedgwick County Unified School District No. 265 Goddard, GO, Refunding, Series B, 4.000%, 10/01/2022		776,772

		Louisiana – 1.5%
	200,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035		224,020
	250,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036		279,425

				503,445

		Massachusetts – 1.3%
	400,000	Massachusetts State Development Finance Agency Revenue, Emerson College, Series A, 5.000%, 1/01/2023		444,084

		Missouri – 2.4%
	700,000	Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		794,276


Principal Amount		Description	Value (†)
	Municipals – continued
		Nebraska – 3.4%
	$1,000,000	Metropolitan Utilities District of Omaha Revenue, System Improvements, Refunding, 5.000%, 12/01/2022	$	1,127,630

		Nevada – 1.7%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		573,100

		New Jersey – 4.3%
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023		300,430
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		562,595
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		565,365

				1,428,390

		New Mexico – 1.7%
	500,000	New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031		568,140

		New York – 3.1%
	1,000,000	New York State Transportation Development Corp. Special Facility Revenue, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT, (AGM Insured), 4.000%, 7/01/2037		1,030,620

		Ohio – 3.4%
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		572,395
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		566,510

				1,138,905

		Pennsylvania – 0.9%
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		300,222

		Rhode Island – 1.7%
	500,000	Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		573,755

		South Dakota – 1.7%
	500,000	South Dakota Health & Educational Facilities Authority, Regional Health System Obligated Group, 5.000%, 9/01/2028		583,235

		Tennessee – 3.8%
	500,000	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030		568,235


Principal Amount		Description	Value (†)
	Municipals – continued
	Tennessee – continued
	$615,000	Metropolitan Nashville Airport Authority (The) Revenue, Series B, AMT, 5.000%, 7/01/2023	$	691,395

				1,259,630

		Texas – 2.5%
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		383,632
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		453,896

				837,528

		Utah – 0.8%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		279,955

		Virginia – 2.3%
	705,000	Virginia College Building Authority, Prerefunded 02/01/2021@100, 5.000%, 2/01/2026		766,906

		Washington – 10.2%
	1,140,000	Grant County Public Utility District No. 2, Refunding, Priest Rapids Hydroelectric Project, Series B, AMT, 5.000%, 1/01/2025		1,303,658
	500,000	King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032		565,755
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		549,190
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		424,548
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		566,065

				3,409,216

		Wisconsin – 4.0%
	225,000	Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031		253,474
	1,000,000	Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Ascension Health Credit Group, Series A, 4.500%, 11/15/2039		1,073,020

				1,326,494

		Total Bonds and Notes (Identified Cost $30,664,648)		31,256,081


Shares
	Exchange-Traded Funds – 1.6%
	5,000	SPDR^® Nuveen S&P High Yield Municipal Bond ETF		278,700
	10,000	VanEck Vectors^® Short High-Yield Municipal Index ETF		242,100

		Total Exchange-Traded Funds (Identified Cost $532,053)		520,800


Principal Amount	Description	Value (†)
Short-Term Investments – 3.9%
$1,302,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/29/2018 at 0.900% to be repurchased at $1,302,130 on 4/02/2018 collateralized by $1,310,000 U.S. Treasury Note, 2.750% due 11/15/2023 valued at $1,330,884 including accrued interest(a) (Identified Cost $1,302,000)	$	1,302,000

	Total Investments – 99.0% (Identified Cost $32,498,701)		33,078,881
	Other assets less liabilities – 1.0%		334,137

	Net Assets – 100.0%	$	33,413,018

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

(a)


AGM		Assured Guaranty Municipal Corporation
AMT		Alternative Minimum Tax
BAM		Build America Mutual
ETF		Exchange-Traded Fund
GO		General Obligation
SPDR		Standard & Poor’s Depositary Receipt

Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	31,256,081	$	—	$	31,256,081
Exchange-Traded Funds		520,800		—		—		520,800
Short-Term Investments		—		1,302,000		—		1,302,000

Total	$	520,800	$	32,558,081	$	—	$	33,078,881

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended March 31, 2018 there were no transfers among Levels 1, 2 and 3.

Holdings Summary at March 31, 2018 (Unaudited)


Medical	17.4	%
Airport	12.5
General	11.9
Water	10.5
Higher Education	9.4
School District	9.0
General Obligation	8.8
Transportation	5.2
Utilities	4.8
Power	2.4
Education	1.6
Exchange-Traded Funds	1.6
Short-Term Investments	3.9

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks – 96.5% of Net Assets
		Air Freight & Logistics – 1.7%
	21,615	FedEx Corp.	$	5,189,978

		Airlines – 2.1%
	126,400	American Airlines Group, Inc.		6,567,744

		Auto Components – 1.1%
	35,500	Aptiv PLC		3,016,435
	11,466	Delphi Technologies PLC		546,355

				3,562,790

		Automobiles – 3.7%
	364,300	Fiat Chrysler Automobiles NV		7,475,436
	111,200	General Motors Co.		4,041,008
	383	Harley-Davidson, Inc.		16,423

				11,532,867

		Banks – 8.1%
	299,800	Bank of America Corp.		8,991,002
	149,700	Citigroup, Inc.		10,104,750
	116,845	Wells Fargo & Co.		6,123,846

				25,219,598

		Beverages – 2.2%
	50,850	Diageo PLC, Sponsored ADR		6,886,107

		Biotechnology – 1.3%
	11,750	Regeneron Pharmaceuticals, Inc.(a)		4,046,230

		Capital Markets – 7.1%
	103,900	Bank of New York Mellon Corp. (The)		5,353,967
	17,930	Goldman Sachs Group, Inc. (The)		4,515,850
	27,745	Moody’s Corp.		4,475,268
	77,100	State Street Corp.		7,689,183

				22,034,268

		Consumer Finance – 5.0%
	286,000	Ally Financial, Inc.		7,764,900
	82,965	Capital One Financial Corp.		7,949,706

				15,714,606

		Electronic Equipment, Instruments & Components – 3.6%
	195,600	Flex Ltd.(a)		3,194,148
	81,000	TE Connectivity Ltd.		8,091,900

				11,286,048

		Energy Equipment & Services – 1.1%
	97,500	National Oilwell Varco, Inc.		3,588,975

		Food & Staples Retailing – 2.0%
	101,500	CVS Health Corp.		6,314,315


Shares		Description	Value (†)
	Common Stocks – continued
		Food Products – 1.9%
	74,890	Nestle S.A., Sponsored ADR	$	5,920,055

		Health Care Equipment & Supplies – 3.2%
	87,100	Baxter International, Inc.		5,664,984
	52,330	Medtronic PLC		4,197,913

				9,862,897

		Health Care Providers & Services – 3.9%
	70,900	HCA Healthcare, Inc.		6,877,300
	25,365	UnitedHealth Group, Inc.		5,428,110

				12,305,410

		Hotels, Restaurants & Leisure – 1.7%
	154,100	MGM Resorts International		5,396,582

		Industrial Conglomerates – 1.4%
	329,000	General Electric Co.		4,434,920

		Insurance – 5.0%
	57,032	Aflac, Inc.		2,495,720
	134,245	American International Group, Inc.		7,305,613
	42,375	Aon PLC		5,946,484

				15,747,817

		Internet & Direct Marketing Retail – 5.2%
	1,760	Booking Holdings, Inc.(a)		3,661,486
	199,200	Liberty Interactive Corp./QVC Group, Class A(a)		5,013,864
	25,410	Netflix, Inc.(a)		7,504,844

				16,180,194

		Internet Software & Services – 4.5%
	10,625	Alphabet, Inc., Class A(a)		11,019,612
	19,200	Facebook, Inc., Class A(a)		3,067,968

				14,087,580

		IT Services – 7.0%
	54,500	Automatic Data Processing, Inc.		6,184,660
	46,965	MasterCard, Inc., Class A		8,226,389
	61,230	Visa, Inc., Class A		7,324,333

				21,735,382

		Machinery – 3.8%
	18,410	Caterpillar, Inc.		2,713,266
	14,200	Cummins, Inc.		2,301,678
	39,990	Parker Hannifin Corp.		6,839,490

				11,854,434

		Media – 5.3%
	19,665	Charter Communications, Inc., Class A(a)		6,120,141
	187,300	Comcast Corp., Class A		6,400,041
	262,800	News Corp., Class A		4,152,240

				16,672,422


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 3.8%
	92,000	Anadarko Petroleum Corp.	$	5,557,720
	139,900	Apache Corp.		5,383,352
	315,100	Chesapeake Energy Corp.(a)		951,602

				11,892,674

		Personal Products – 2.1%
	117,875	Unilever PLC, Sponsored ADR		6,549,135

		Semiconductors & Semiconductor Equipment – 4.1%
	155,400	Intel Corp.		8,093,232
	44,600	Texas Instruments, Inc.		4,633,494

				12,726,726

		Software – 2.1%
	143,900	Oracle Corp.		6,583,425

		Technology Hardware, Storage & Peripherals – 2.5%
	46,455	Apple, Inc.		7,794,220

		Total Common Stocks (Identified Cost $233,334,319)		301,687,399


Principal Amount
	Short-Term Investments – 3.5%
	$10,944,871	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/29/2018 at 0.900% to be repurchased at $10,945,965 on 4/02/2018 collateralized by $10,990,000 U.S. Treasury Note, 2.750% due 11/15/2023 valued at $11,165,203 including accrued interest(b) (Identified Cost $10,944,871)		10,944,871


Description	Value (†)
Total Investments – 100.0% (Identified Cost $244,279,190)	$	312,632,270
Other assets less liabilities – (0.0)%		(82,917	)

Net Assets – 100.0%	$	312,549,353

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

(a)	Non-income producing security.

(b)


ADR		An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	301,687,399	$	—	$	—	$	301,687,399
Short-Term Investments		—		10,944,871		—		10,944,871

Total	$	301,687,399	$	10,944,871	$	—	$	312,632,270

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended March 31, 2018, there were no transfers among Levels 1, 2 and 3.

Industry Summary at March 31, 2018 (Unaudited)


Banks	8.1	%
Capital Markets	7.1
IT Services	7.0
Media	5.3
Internet & Direct Marketing Retail	5.2
Insurance	5.0
Consumer Finance	5.0
Internet Software & Services	4.5
Semiconductors & Semiconductor Equipment	4.1
Health Care Providers & Services	3.9
Oil, Gas & Consumable Fuels	3.8
Machinery	3.8
Automobiles	3.7
Electronic Equipment, Instruments & Components	3.6
Health Care Equipment & Supplies	3.2
Technology Hardware, Storage & Peripherals	2.5
Beverages	2.2
Software	2.1
Airlines	2.1
Personal Products	2.1
Food & Staples Retailing	2.0
Other Investments, less than 2% each	10.2
Short-Term Investments	3.5

Total Investments	100.0
Other assets less liabilities	(0.0	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2018 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 96.0% of Net Assets
		Banks – 7.4%
	645,750	Bank of NT Butterfield & Son Ltd. (The)	$	28,981,260
	285,600	Chemical Financial Corp.		15,616,608
	833,125	Huntington Bancshares, Inc.		12,580,187
	293,775	PacWest Bancorp		14,550,676

				71,728,731

		Building Products – 1.4%
	221,925	Masonite International Corp.(a)		13,615,099

		Capital Markets – 3.2%
	168,250	Nasdaq, Inc.		14,506,515
	217,375	SEI Investments Co.		16,283,561

				30,790,076

		Chemicals – 3.8%
	260,375	FMC Corp.		19,936,914
	398,375	PolyOne Corp.		16,938,905

				36,875,819

		Commercial Services & Supplies – 1.9%
	333,800	KAR Auction Services, Inc.		18,091,960

		Communications Equipment – 1.7%
	413,825	CommScope Holding Co., Inc.(a)		16,540,585

		Consumer Finance – 1.8%
	510,525	Synchrony Financial		17,117,903

		Containers & Packaging – 4.5%
	129,150	Avery Dennison Corp.		13,722,187
	448,400	Crown Holdings, Inc.(a)		22,756,300
	61,850	Packaging Corp. of America		6,970,495

				43,448,982

		Diversified Consumer Services – 2.4%
	958,975	Laureate Education, Inc., Class A(a)		13,185,906
	195,550	ServiceMaster Global Holdings, Inc.(a)		9,943,718

				23,129,624

		Electrical Equipment – 1.3%
	106,425	Hubbell, Inc.		12,960,437

		Energy Equipment & Services – 1.7%
	227,375	Baker Hughes, a GE Co.		6,314,204
	899,525	Forum Energy Technologies, Inc.(a)		9,894,775

				16,208,979

		Health Care Providers & Services – 3.6%
	192,825	Centene Corp.(a)		20,607,208


Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Providers & Services – continued
	377,450	Envision Healthcare Corp.(a)	$	14,505,403

				35,112,611

		Hotels, Restaurants & Leisure – 6.0%
	466,575	Aramark		18,457,707
	1,107,800	Extended Stay America, Inc.		21,901,206
	279,225	Six Flags Entertainment Corp.		17,384,548

				57,743,461

		Household Durables – 3.2%
	92,775	Mohawk Industries, Inc.(a)		21,544,210
	372,285	Newell Brands, Inc.		9,485,822

				31,030,032

		Independent Power & Renewable Electricity Producers – 2.1%
	1,023,200	Atlantica Yield PLC		20,034,256

		Insurance – 7.5%
	214,650	Arthur J. Gallagher & Co.		14,752,895
	297,425	Athene Holding Ltd., Class A(a)		14,219,889
	258,300	First American Financial Corp.		15,157,044
	210,100	Hartford Financial Services Group, Inc. (The)		10,824,352
	115,500	Reinsurance Group of America, Inc.		17,787,000

				72,741,180

		IT Services – 8.2%
	43,500	Alliance Data Systems Corp.		9,259,410
	122,775	CACI International, Inc., Class A(a)		18,581,996
	242,850	Fidelity National Information Services, Inc.		23,386,455
	124,300	Fiserv, Inc.(a)		8,863,833
	172,800	Global Payments, Inc.		19,270,656

				79,362,350

		Life Sciences Tools & Services – 0.9%
	90,262	IQVIA Holdings, Inc.(a)		8,855,605

		Machinery – 9.6%
	151,900	Middleby Corp. (The)(a)		18,803,701
	957,725	Milacron Holdings Corp.(a)		19,288,581
	217,500	Oshkosh Corp.		16,806,225
	208,275	Pentair PLC		14,189,776
	63,675	Snap-on, Inc.		9,394,610
	320,525	Timken Co. (The)		14,615,940

				93,098,833

		Media – 1.8%
	264,675	Nexstar Media Group, Inc., Class A		17,600,888

		Metals & Mining – 3.2%
	1,355,175	Constellium NV, Class A(a)		14,703,649
	185,550	Reliance Steel & Aluminum Co.		15,909,057

				30,612,706


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 6.8%
	383,825	Continental Resources, Inc.(a)	$	22,626,484
	1,604,400	QEP Resources, Inc.(a)		15,707,076
	1,812,675	WPX Energy, Inc.(a)		26,791,336

				65,124,896

		REITs—Diversified – 2.4%
	1,432,500	New Residential Investment Corp.		23,564,625

		REITs—Warehouse/Industrials – 1.1%
	211,000	CyrusOne, Inc.		10,805,310

		Semiconductors & Semiconductor Equipment – 1.5%
	156,425	Analog Devices, Inc.		14,255,010

		Software – 1.9%
	123,700	Check Point Software Technologies Ltd.(a)		12,288,358
	91,575	RingCentral, Inc., Class A(a)		5,815,013

				18,103,371

		Specialty Retail – 0.5%
	117,325	Signet Jewelers Ltd.		4,519,359

		Technology Hardware, Storage & Peripherals – 1.8%
	539,350	NCR Corp.(a)		17,000,312

		Textiles, Apparel & Luxury Goods – 1.4%
	86,400	PVH Corp.		13,083,552

		Thrifts & Mortgage Finance – 1.4%
	107,325	Essent Group Ltd.(a)		4,567,752
	328,325	MGIC Investment Corp.(a)		4,268,225
	248,300	Radian Group, Inc.		4,727,632

				13,563,609

		Total Common Stocks (Identified Cost $842,222,589)		926,720,161

	Closed-End Investment Companies – 2.4%
	1,442,500	Ares Capital Corp. (Identified Cost $22,033,873)		22,892,475


Principal Amount
	Short-Term Investments – 1.4%
$	13,678,448	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/29/2018 at 0.900% to be repurchased at $13,679,816 on 4/02/2018 collateralized by $14,220,000 U.S. Treasury Note, 2.250% due 1/31/2024 valued at $13,955,935 including accrued interest(b) (Identified Cost $13,678,448)		13,678,448


Description	Value (†)
Total Investments – 99.8% (Identified Cost $877,934,910)	$	963,291,084
Other assets less liabilities – 0.2%		1,806,695

Net Assets – 100.0%	$	965,097,779

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

(a)	Non-income producing security.

(b)


REITs		Real Estate Investment Trusts

Fair Value Measurements

•

Level 1—quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	926,720,161	$	—	$	—	$	926,720,161
Closed-End Investment Companies		22,892,475		—		—		22,892,475
Short-Term Investments		—		13,678,448		—		13,678,448

Total	$	949,612,636	$	13,678,448	$	—	$	963,291,084

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended March 31, 2018, there were no transfers among Levels 1, 2 and 3.

Industry Summary at March 31, 2018 (Unaudited)


Machinery	9.6	%
IT Services	8.2
Insurance	7.5
Banks	7.4
Oil, Gas & Consumable Fuels	6.8
Hotels, Restaurants & Leisure	6.0
Containers & Packaging	4.5
Chemicals	3.8
Health Care Providers & Services	3.6
Household Durables	3.2
Capital Markets	3.2
Metals & Mining	3.2
REITs—Diversified	2.4
Diversified Consumer Services	2.4
Closed-End Investment Companies	2.4
Independent Power & Renewable Electricity Producers	2.1
Other Investments, less than 2% each	22.1
Short-Term Investments	1.4

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

ITEM 2.

CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3.

EXHIBITS


(a)(1)		Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

(a)(2)		Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name: David L. Giunta
Title: President and Chief Executive Officer
Date: May 21, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ David L. Giunta
Name: David L. Giunta
Title: President and Chief Executive Officer
Date: May 21, 2018

By:		/s/ Michael C. Kardok
Name: Michael C. Kardok
Title: Treasurer
Date: May 21, 2018

EX-99.(CERT) 2 d787706dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 21, 2018

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 21, 2018

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer